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.
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| doi.org/10.1016/0165-1765(94)00635-F, hdl.handle.net/1765/2084 | |
| Economics Letters | |
| Organisation | Erasmus School of Economics |
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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
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