Testing for periodic integration
Economics Letters p. 235- 240
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.
|integration, periodic models, seasonal time series|
|Time-Series Models; Dynamic Quantile Regressions (jel C22)|
|Organisation||Erasmus School of Economics|
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