On the seasonality of vector autoregression residuals

DOI10.1016/0165-1765(85)90168-5zbMATH Open1273.91359OpenAlexW2057909729MaRDI QIDQ375104FDOQ375104

Authors: John B. Burbidge, Michael R. Veall, L. Magee 

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(85)90168-5

Recommendations

• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• The consequences of seasonal adjustment for periodic autoregressive processes
• scientific article; zbMATH DE number 3886928
• Seasonal autoregressions with regime switching
• Sparse seasonal and periodic vector autoregressive modeling
• Rescaled variance tests for seasonal stationarity
• The effects of seasonally adjusting a periodic autoregressive process

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Seasonal Adjustment of Economic Time Series and Multiple Regression Analysis

Cited In (4)

• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Removing seasonality under a changing regime: filtering new car sales
• Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances
• Rescaled variance tests for seasonal stationarity

This page was built for publication: On the seasonality of vector autoregression residuals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375104)