partsm

swMATH11347CRANpartsmMaRDI QIDQ23293FDOQ23293

Periodic Autoregressive Time Series Models

Javier Lopez-de-lacalle

Last update: 25 November 2020

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.1-3

Official website: http://cran.r-project.org/web/packages/partsm/index.html

Source code repository: https://github.com/cran/partsm

Cited In (44)

• PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models
• A comparison between the linear regression model with autocorrelated errors and the partial adjustment model
• Impulse response functions for periodic integration
• Periodic and seasonal (co-)integration in the state space framework
• On stationarity and \(\beta \)-mixing of periodic bilinear processes
• Forecasting seasonal time series data: a Bayesian model averaging approach
• The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
• A new method to compare the spectral densities of two independent periodically correlated time series
• Seasonal nonlinear long memory model for the US inflation rates
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Anticipating random periodic solutions. I: SDEs with multiplicative linear noise.
• Periodic autoregressive models with closed skew-normal innovations
• Non-parametric testing for seasonally and periodically integrated processes
• On periodic autoregressive stochastic volatility models: structure and estimation
• Macroeconomics and the reality of mixed frequency data
• Loss development forecasting models: an econometrician's view
• Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes
• Periodically correlated autoregressive Hilbertian processes
• Functional coefficient seasonal time series models with an application of Hawaii tourism data
• On trends and constants in periodic autoregressions
• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
• Functional data analysis of the dynamics of the monthly index of nondurable goods production.
• Testing for integration using evolving trend and seasonals models: A Bayesian approach.
• The consequences of seasonal adjustment for periodic autoregressive processes
• TESTING FOR PERIODIC STATIONARITY
• A computational method to compare spectral densities of independent periodically correlated time series
• An optimization technique based on a vector autoregression model with state space representation: application to Ukrainian cargo transport data
• Predictive Density Order Selection of Periodic AR Models
• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• meboot
• MIDAS Regressions
• THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS
• Testing nested and non-nested periodically integrated autoregressive models
• Forward moving average representations for MA processes of finite order: multivariate stationary and periodically correlated
• Efficient Semiparametric Estimation of the Periods in a Superposition of Periodic Functions with Unknown Shape
• Generation Of Time Series Models With Given Spectral Properties
• Multi-companion matrices
• A new method to detect periodically correlated structure
• Bootstrapping periodic state-space models
• Performance of seasonal unit root tests for monthly data
• On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes
• Testing the difference between spectral densities of two independent periodically correlated (cyclostationary) time series models
• Non-parametric seasonal unit root tests under periodic non-stationary volatility
• Recursive and rolling regression-based tests of the seasonal unit root hypothesis

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