J. Breitung
http://repub.eur.nl/ppl/45/
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RePub, Erasmus University RepositoryOn Phillips-Perron type tests for seasonal unit roots
http://repub.eur.nl/pub/2139/
Thu, 01 Jan 1998 00:00:01 GMT<div>Ph.H.B.F. Franses</div><div>J. Breitung</div>
In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range (0,[pi]]. Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al. (1990). On the other hand, the semiparametric version suffers from severe size distortions in some situations.Impulse response functions for periodic integration
http://repub.eur.nl/pub/2100/
Wed, 01 Jan 1997 00:00:01 GMT<div>Ph.H.B.F. Franses</div><div>J. Breitung</div>
A quarterly observed time series is said to be periodically integrated [PI] if the stochastic trend needs to be removed by a seasonally varying differencing filter. In this paper we consider the impulse response functions [IRF] for such a PI time series.