Impulse response functions for periodic integration
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Publication:1389739
DOI10.1016/S0165-1765(97)00047-5zbMath0895.90055MaRDI QIDQ1389739
Jörg Breitung, Philip Hans Franses
Publication date: 30 June 1998
Published in: Economics Letters (Search for Journal in Brave)
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Cites Work
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- On periodic and multiple autoregressions
- The implications of periodically varying coefficients for seasonal time- series processes
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models