Moving average filters and unit roots

DOI10.1016/0165-1765(91)90077-XzbMATH Open0850.62877OpenAlexW2108691014MaRDI QIDQ1189353FDOQ1189353

Authors: Philip Hans Franses 

Publication date: 26 September 1992

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90077-x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)

Cited In (4)

• Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information
• Testing for unit roots in seasonally adjusted data
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• A note on the application of the DF test to seasonal data

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