Spurious deterministic seasonality
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Recommendations
- A note on spurious regression in seasonal time series
- Effect of neglected deterministic seasonality on unit root tests
- REGRESSION-BASED SEASONAL UNIT ROOT TESTS
- Testing for unit roots in time series with nearly deterministic seasonal variation
- Some tests for unit roots in seasonal time series with deterministic trends
Cites work
- scientific article; zbMATH DE number 3336457 (Why is no real title available?)
- A multivariate approach to modeling univariate seasonal time series
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Maximum likelihood inference on cointegration and seasonal cointegration
- Seasonal cointegration. The Japanese consumption function (with discussion)
- Seasonal integration and cointegration
- Time Series Regression with a Unit Root
- Understanding spurious regressions in econometrics
Cited in
(4)- Identification of seasonal effects in impulse responses using score-driven multivariate location models
- Alternative estimators and unit root tests for seasonal autoregressive processes
- A note on spurious regression in seasonal time series
- The robustness of tests for seasonal differencing to structural breaks.
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