On trends and constants in periodic autoregressions

DOI10.1080/07474939908800446zbMATH Open1063.62575OpenAlexW2155582526MaRDI QIDQ4701044FDOQ4701044

Authors: Richard Paap, Philip Hans Franses 

Publication date: 1999

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939908800446

Recommendations

• scientific article; zbMATH DE number 3938367
• Testing for periodic integration
• scientific article; zbMATH DE number 976336
• The effects of seasonally adjusting a periodic autoregressive process
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of mathematical programming (90C90)

Cites Work

• Title not available (Why is that?)
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• The role of the constant and linear terms in cointegration analysis of nonstationary variables
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• The implications of periodically varying coefficients for seasonal time- series processes
• Multiple unit roots in periodic autoregression

Cited In (7)

• Periodic autoregression with exogenous variables and periodic variances
• COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
• The Effect of the Elimination of Trend on Oscillation in Time-Series
• Autoregressive integrated moving average model with deterministic component
• Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters
• MODELS THAT GENERATE TRENDS
• TESTING FOR PERIODIC STATIONARITY

Uses Software

• partsm

This page was built for publication: On trends and constants in periodic autoregressions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4701044)