Moving average filters and unit roots☆
References (11)
- et al.
Seasonal integration and cointegration
Journal of Econometrics
(1990) A survey of seasonality in UK macroeconomic variables
International Journal of Forecasting
(1990)- et al.
Seasonal unit-root tests on Canadian macroeconomic time series
Economics Letters
(1990) - et al.
Seasonal unit roots in aggregate U.S. data
(1991) An econometric analysis of the U.S. postwar G.N.P.
Journal of Population Economics
(1990)
Cited by (16)
Analysing driver's decision in dilemma zone at signalized intersections under disordered traffic conditions
2022, Transportation Research Part F: Traffic Psychology and BehaviourCitation Excerpt :Past studies also report that the smoothing technique could eliminate outliers and reduce the errors in the trajectory data (Kanagaraj et al., 2015; Venthuruthiyil & Chunchu, 2018), even when applied for data extracted using a semi-automated tool for disordered traffic conditions. Averaging is one form of smoothing (Punzo et al., 2011); hence a 5-point moving average technique is used to smoothen the extracted vehicular trajectories (Franses, 1991; Raju et al., 2017). After post-processing the data, the trajectory data is trimmed down to represent only the trajectories of vehicles after the onset and during the amber time.
A note on the application of the DF test to seasonal data
2000, Statistics and Probability LettersCitation Excerpt :However, different implications arise for each case in the event of misspecification. In the case where the quarterly data is pre-filtered using (1+L+L2+L3) one obvious negative effect that may occur in empirical work concerns overdifferencing, which has implications on the power performance of the test procedure (see e.g., Franses, 1991, for a discussion of this problem). Alternatively, if the DF test is applied on yt one needs to ensure that the possible presence of seasonal unit roots is accounted for through the correct augmentation of the test regression; otherwise, incorrect inferences may be drawn due to the improper use of the limit distribution.
Testing for unit roots in seasonally adjusted data
1994, Economics LettersPeriodic integration in quarterly UK macroeconomic variables
1993, International Journal of ForecastingThe problem of annual inflation rate indicator
2023, International Journal of Finance and EconomicsSpatiotemporal Variation of Rear-End Conflicts at Signalized Intersections under Disordered Traffic Conditions
2021, Journal of Transportation Engineering Part A: Systems
- ☆
Thanks are due to Eric Ghysels and Svend Hylleberg for helpful discussions.