Multiple unit roots in periodic autoregression

DOI10.1016/S0304-4076(97)81127-XzbMath0885.62099MaRDI QIDQ1367143

Philip Hans Franses, Niels Haldrup, H. Peter Boswijk

Publication date: 3 May 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

model selectionperiodic autoregressive time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (5)

Forecasting seasonal time series data: a Bayesian model averaging approach ⋮ On trends and constants in periodic autoregressions ⋮ TESTING FOR PERIODIC STATIONARITY ⋮ Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form ⋮ Explosive strong periodic autoregression with multiplicity one

Cites Work

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• Seasonal integration and cointegration
• Statistical analysis of cointegration vectors
• A multivariate approach to modeling univariate seasonal time series
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Multiple Time Series Regression with Integrated Processes
• On Periodic Structures and Testing for Seasonal Unit Roots
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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