A quarterly observed time series is said to be periodically integrated [PI] if the stochastic trend needs to be removed by a seasonally varying differencing filter. In this paper we consider the impulse response functions [IRF] for such a PI time series.

Additional Metadata
Keywords impulse response function, periodic integration
JEL Time-Series Models; Dynamic Quantile Regressions (jel C22)
Persistent URL dx.doi.org/10.1016/S0165-1765(97)00047-5, hdl.handle.net/1765/2100
Journal Economics Letters
Citation
Franses, Ph.H.B.F, & Breitung, J. (1997). Impulse response functions for periodic integration. Economics Letters, 55(1), 35–40. doi:10.1016/S0165-1765(97)00047-5