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Model Selection in Periodic Autoregressions

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Author Info
Franses, Philip Hans
Paap, Richard

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Abstract

In this paper, the authors analyze a model selection strategy for periodic autoregressive time-series processes. It involves autoregressive order selection and tests for unit roots at the (non-)seasonal frequencies. The strategy is evaluated using Monte Carlo replications and it is applied to several quarterly U.K. macroeconomic time series. Copyright 1994 by Blackwell Publishing Ltd

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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 56 (1994)
Issue (Month): 4 (November)
Pages: 421-39
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Handle: RePEc:bla:obuest:v:56:y:1994:i:4:p:421-39

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  1. Ph.H.B.F. Franses & R. Paap, 1999. "Forecasting with periodic autoregressive time series models," Econometric Institute Report 156, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  2. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics. [Downloadable!]
  4. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor and Francis Journals, vol. 21(2), pages 243-270. [Downloadable!] (restricted)
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