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.

Additional Metadata
Keywords integration, periodic models, seasonal time series
JEL Time-Series Models; Dynamic Quantile Regressions (jel C22)
Persistent URL dx.doi.org/10.1016/0165-1765(94)00635-F, hdl.handle.net/1765/2084
Journal Economics Letters
Citation
Franses, Ph.H.B.F, & Boswijk, H.P. (1995). Testing for periodic integration. Economics Letters, 235–240. doi:10.1016/0165-1765(94)00635-F