Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: Hoek, H.
Author-Name-Last: Hoek
Author-Name-First: Henk
Author-Name: Paap, R.
Author-Name-Last: Paap
Author-Name-First: Richard
Author-Person: ppa494
Title: Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts
Abstract: In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean shifts instead of seasonal stochastic trends. This leads to analysing seasonal unit roots in the presence of mean shifts using Bayesian techniques. Our method is illustrated using several simulated and empirical data.
Creation-Date: 1995-01-01
Series: RePEc:ems:eureir
Number: EI 9527-/A
Classification-JEL: C11, C12, C22
Keywords: Bayesian analysis, seasonality, structural breaks, unit roots
Handle: RePEc:ems:eureir:1354