Deterministic seasonality versus seasonal fractional integration

DOI10.1016/j.jspi.2004.04.011zbMath1066.62085OpenAlexW2072637898MaRDI QIDQ2386153

Luis A. Gil-Alana

Publication date: 22 August 2005

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://www.unav.edu/documents/10174/6546776/1132584038_wp0704.pdf

zbMATH Keywords

tablesLong memoryFractional integrationSeasonality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Related Items (1)

Deterministic versus stochastic seasonal fractional integration and structural breaks

Cites Work

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• Seasonal integration and cointegration
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• On models and methods for Bayesian time series analysis
• Seasonal cointegration. The Japanese consumption function (with discussion)
• A limit theory for long-range dependence and statistical inference on related models
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• On the effect of seasonal adjustment on the log-periodogram regression
• Testing Stochastic Cycles in Macroeconomic Time Series
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• Efficient Tests of Nonstationary Hypotheses
• Semiparametric robust tests on seasonal or cyclical long memory time series
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Evaluation of robinson's (1994) Tests in finite samples
• Testing for Unit Roots in Seasonal Time Series

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