Periodic and seasonal (co-)integration in the state space framework

DOI10.1016/J.ECONLET.2018.11.018MaRDI QIDQ2328546zbMATH OpenOpenAlexWikidataFDO

Authors Dietmar Bauer

Publication date 10 October 2019

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2018.11.018

zbMATH Keywords

cointegrationperiodic processesseasonal integrationunit roots

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Seasonal integration and cointegration
• Temporal aggregation of seasonally near-integrated processes
• Periodic autoregressive models for time series with integrated seasonality
• Assessing direct and indirect seasonal decomposition in state space
• Deterministic seasonality versus seasonal fractional integration
• Estimation of seasonal fractionally integrated processes
• Diagnosing seasonal shifts in time series using state space models
• The implications of periodically varying coefficients for seasonal time- series processes
• COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES

Cites work

• A multivariate approach to modeling univariate seasonal time series
• A state space canonical form for unit root processes
• Alternative estimators and unit root tests for seasonal autoregressive processes
• COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
• Efficient tests of the seasonal unit root hypothesis
• Forecasting daily time series using periodic unobserved components time series models
• Fully modified estimation of seasonally cointegrated processes
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• Likelihood analysis of seasonal cointegration
• Non-parametric testing for seasonally and periodically integrated processes
• On augmented HEGY tests for seasonal unit roots
• Seasonal integration and cointegration
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems

Cited in

(5)

• On alternative state space representations of time series models
• Seasonal Specific Structural Time Series
• A periodic cointegration model of quarterly consumption
• State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)
• Periodic linear-quadratic methods for modeling seasonality

Describes a project that uses

Uses Software

• partsm

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