On trends and constants in periodic autoregressions

DOI10.1080/07474939908800446MaRDI QIDQ4701044zbMATHOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Multiple unit roots in periodic autoregression
• The implications of periodically varying coefficients for seasonal time- series processes
• The role of the constant and linear terms in cointegration analysis of nonstationary variables
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

Cited in

(7)

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

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