1997
Impulse response functions for periodic integration
Publication
Publication
Economics Letters , Volume 55 - Issue 1 p. 35- 40
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.
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| doi.org/10.1016/S0165-1765(97)00047-5, hdl.handle.net/1765/2100 | |
| Economics Letters | |
| Organisation | Erasmus School of Economics |
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Franses, P. H., & Breitung, J. (1997). Impulse response functions for periodic integration. Economics Letters, 55(1), 35–40. doi:10.1016/S0165-1765(97)00047-5 |
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