scientific article; zbMATH DE number 976336

zbMATH Open0868.62088MaRDI QIDQ4331747FDOQ4331747

Authors: Philip Hans Franses 

Publication date: 5 February 1997

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zbMATH Keywords

forecastingMonte Carlo simulationstochastic trendsseasonal variationperiodic modelsperiodic integrationperiodic cointegrationseasonally observed economic time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (61)

• Testing earnings management
• Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model
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• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
• Improved frequency selective filters
• A comparison between the linear regression model with autocorrelated errors and the partial adjustment model
• Impulse response functions for periodic integration
• Periodic and seasonal (co-)integration in the state space framework
• Nonlinear modelling of periodic threshold autoregressions using Tsmars
• On stationarity and \(\beta \)-mixing of periodic bilinear processes
• Forecasting seasonal time series data: a Bayesian model averaging approach
• The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
• Changes in seasonal patterns. Are they cyclical?
• A new method to compare the spectral densities of two independent periodically correlated time series
• Seasonal nonlinear long memory model for the US inflation rates
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Anticipating random periodic solutions. I: SDEs with multiplicative linear noise.
• Periodic autoregressive models with closed skew-normal innovations
• Non-parametric testing for seasonally and periodically integrated processes
• Periodic Time Series Models
• On periodic autoregressive stochastic volatility models: structure and estimation
• Macroeconomics and the reality of mixed frequency data
• Loss development forecasting models: an econometrician's view
• The emergence of temporal correlations in a study of global economic interdependence
• Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes
• Testing stochastic cycles in macroeconomic time series
• Periodically correlated autoregressive Hilbertian processes
• Functional coefficient seasonal time series models with an application of Hawaii tourism data
• On trends and constants in periodic autoregressions
• Trends and random walks in macroeconomic time series
• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
• Functional data analysis of the dynamics of the monthly index of nondurable goods production.
• Testing for integration using evolving trend and seasonals models: A Bayesian approach.
• The consequences of seasonal adjustment for periodic autoregressive processes
• TESTING FOR PERIODIC STATIONARITY
• A computational method to compare spectral densities of independent periodically correlated time series
• Seasonal adjustment methods and real time trend-cycle estimation
• Cointegration analysis and category sales: Stationarity and long-run equilibrium in market shares
• Predictive Density Order Selection of Periodic AR Models
• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• partsm
• THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS
• Testing nested and non-nested periodically integrated autoregressive models
• Forward moving average representations for MA processes of finite order: multivariate stationary and periodically correlated
• Efficient Semiparametric Estimation of the Periods in a Superposition of Periodic Functions with Unknown Shape
• Generation Of Time Series Models With Given Spectral Properties
• Multi-companion matrices
• SEASONALITY IN ECONOMIC MODELS
• Modelling trends and cycles in economic time series
• Markov-switching stochastic trends and economic fluctuations
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• A new method to detect periodically correlated structure
• PERIODIC COMPONENTS AND CHARACTERISTIC TIME SCALES IN THE FINANCIAL MARKET
• Bootstrapping periodic state-space models
• Performance of seasonal unit root tests for monthly data
• CYCLICAL TRENDS IN CONTINUOUS TIME MODELS
• On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes
• Testing the difference between spectral densities of two independent periodically correlated (cyclostationary) time series models
• Non-parametric seasonal unit root tests under periodic non-stationary volatility
• Recursive and rolling regression-based tests of the seasonal unit root hypothesis

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