Testing for periodic integration
January 1995
Article
pp 235-240.
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A periodic autoregressive time-series model assumes that the autoregressive parameters vary with the season. This model can also be represented by a multivariate model for the annual vector containing the seasonal observations. When this multivariate model contains one unit root, a time-series is said to be periodically integrated of order 1. In this paper we propose tests for such a single unit root. These tests for periodic integration are applied to a periodic model for the quarterly German consumption series.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
Automatically Extracted Terms
- model
- process
- unit root
- franse
- parameter
- autoregression
- statistic
- series
- boswijk
- vector
- trend
- regression model
- multivariate model
- consumption
- table
- regression
- order
- observation
- lr ~ test
- letter
