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Multiple unit roots in periodic autoregression

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  • Boswijk, H. Peter
  • Franses, Philip Hans
  • Haldrup, Niels

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 80 (1997)
Issue (Month): 1 (September)
Pages: 167-193

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Handle: RePEc:eee:econom:v:80:y:1997:i:1:p:167-193

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Haldrup, Niels, 1994. "The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables," Journal of Econometrics, Elsevier, vol. 63(1), pages 153-181, July.
  2. Franses, Philip Hans & Paap, Richard, 1994. "Model Selection in Periodic Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 421-39, November.
  3. Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  5. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
  6. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-97, August.
  7. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  8. Park, Joon Y. & Phillips, Peter C.B., 1989. "Statistical Inference in Regressions with Integrated Processes: Part 2," Econometric Theory, Cambridge University Press, vol. 5(01), pages 95-131, April.
  9. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  10. Pantula, Sastry G., 1989. "Testing for Unit Roots in Time Series Data," Econometric Theory, Cambridge University Press, vol. 5(02), pages 256-271, August.
  11. Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
  12. Hans Franses, Philip & Romijn, Gerbert, 1993. "Periodic integration in quarterly UK macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 9(4), pages 467-476, December.
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Citations

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Cited by:
  1. Franses, Ph.H.B.F. & Paap, R., 1999. "Forecasting with periodic autoregressive time series models," Econometric Institute Research Papers EI 9927-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Lof, Marten & Hans Franses, Philip, 2001. "On forecasting cointegrated seasonal time series," International Journal of Forecasting, Elsevier, vol. 17(4), pages 607-621.
  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.
  4. Franses, Ph.H.B.F. & Paap, R., 2005. "Random-Coefficient periodic autoregression," Econometric Institute Research Papers EI 2005-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 243-270.
  6. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers 06-101/4, Tinbergen Institute.

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