The effects of seasonally adjusting a periodic autoregressive process

DOI10.1016/0167-9473(94)00019-FzbMATH Open0875.62410OpenAlexW2152371116MaRDI QIDQ672964FDOQ672964

Philip Hans Franses

Publication date: 28 February 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(94)00019-f

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Mathematics Subject Classification ID

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

Cites Work

• Seasonal integration and cointegration
• Forecasting and testing in co-integrated systems
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• A periodic cointegration model of quarterly consumption
• Testing for periodic autocorrelations in seasonal time series data
• A multivariate approach to modeling univariate seasonal time series
• Changes in seasonal patterns. Are they cyclical?
• The implications of periodically varying coefficients for seasonal time- series processes
• ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Testing for periodic integration

Cited In (25)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Multipass Seasonal Adjustment Filter
• Changes in seasonal patterns. Are they cyclical?
• Dynamic seasonality in time series
• Comparison of efficient seasonal indexes
• A systems approach to recursive economic forecasting and seasonal adjustment
• An analogue model of phase-averaging procedures
• A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
• Does seasonal adjustment induce common cycles?
• Data revisions and periodic properties of macroeconomic data
• Title not available (Why is that?)
• Removing seasonality under a changing regime: filtering new car sales
• The consequences of seasonal adjustment for periodic autoregressive processes
• Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances
• An unbiased autoregressive conditional intraday seasonal variance filtering process
• Title not available (Why is that?)
• Title not available (Why is that?)
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• A random forest-based approach to combining and ranking seasonality tests
• Parsimonious periodic autoregressive models for time series with evolving trend and seasonality
• Title not available (Why is that?)
• On the seasonality of vector autoregression residuals
• The effects of working with seasonally adjusted data when testing for unit root.
• A comparison of indicators for evaluating x-11-arima seasonal adjustment

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