The effect of linear filters on dynamic time series with structural change

DOI10.1016/0304-4076(94)01684-4zbMATH Open0834.62093OpenAlexW2065639247MaRDI QIDQ1906288FDOQ1906288

Authors: Eric Ghysels, Pierre Perron 

Publication date: 12 February 1996

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

Full work available at URL: http://hdl.handle.net/1866/2038

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zbMATH Keywords

unit rootsstructural changeasymptotic biasMonte Carlo simulationslinear filteringseasonal adjustment filterscensus X-11 filter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

• Seasonal integration and cointegration
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Title not available (Why is that?)
• Title not available (Why is that?)
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Testing for unit roots in autoregressive-moving average models of unknown order
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• On Detecting Changes in the Mean of Normal Variates
• Changes in seasonal patterns. Are they cyclical?
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)

Cited In (6)

• The choice of time interval in seasonal adjustment: a heuristic approach
• Some statistical aspects of methods for detection of turning points in business cycles
• Cycles, syllogisms and semantics: examining the idea of spurious cycles
• The effects of working with seasonally adjusted data when testing for unit root.
• Performance of seasonal unit root tests for monthly data
• Segmenting mean-nonstationary time series via trending regressions

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