On the seasonality of vector autoregression residuals

DOI10.1016/0165-1765(85)90168-5MaRDI QIDQ375104zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• Seasonal Adjustment of Economic Time Series and Multiple Regression Analysis

Cited in

(4)

• Rescaled variance tests for seasonal stationarity
• 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

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