The effects of seasonally adjusting a periodic autoregressive process

DOI10.1016/0167-9473(94)00019-FzbMath0875.62410OpenAlexW2152371116MaRDI QIDQ672964

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

Mathematics Subject Classification ID

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

Related Items (3)

Dynamic seasonality in time series ⋮ Data revisions and periodic properties of macroeconomic data ⋮ Parsimonious periodic autoregressive models for time series with evolving trend and seasonality

Cites Work

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• Seasonal integration and cointegration
• Testing for periodic integration
• Forecasting and testing in co-integrated systems
• 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
• A periodic cointegration model of quarterly consumption
• Testing for periodic autocorrelations in seasonal time series data

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