UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

DOI10.1111/j.1467-9892.1996.tb00274.xzbMath0854.62082MaRDI QIDQ4892824

H. Peter Boswijk, Philip Hans Franses

Publication date: 1 September 1996

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/2062

zbMATH Keywords

seasonality; parametrization; likelihood ratio tests; asymptotic null distributions; periodic autoregressive models; periodic integration; unit root inference; univariate quarterly time series

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

Related Items

ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH, TESTING FOR PERIODIC STATIONARITY, On trends and constants in periodic autoregressions, On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity, Testing for periodic integration, Temporal aggregation in a periodically integrated autoregressive process, Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form, Multiple unit roots in periodic autoregression, Impulse response functions for periodic integration, Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments, Periodic integration: Further results on model selection and forecasting, Explosive strong periodic autoregression with multiplicity one, On the performance of the DHF tests against nonstationary alternatives, Non-parametric testing for seasonally and periodically integrated processes, ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS, TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES, REGRESSION-BASED SEASONAL UNIT ROOT TESTS, Testing nested and non-nested periodically integrated autoregressive models

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