IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v43y1997i3p467-473.html
   My bibliography  Save this article

Periodically integrated autoregression with a structural break

Author

Listed:
  • Maekawa, Koichi

Abstract

No abstract is available for this item.

Suggested Citation

  • Maekawa, Koichi, 1997. "Periodically integrated autoregression with a structural break," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 467-473.
    • Handle: RePEc:eee:matcom:v:43:y:1997:i:3:p:467-473
    DOI: 10.1016/S0378-4754(97)00033-5
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378475497000335
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/S0378-4754(97)00033-5?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Franses, P.H. & McAleer, M., 1995. "Testing Nested and Non-Nested Periodically Integrated Autoregressive Models," Discussion Paper 1995-10, Tilburg University, Center for Economic Research.
    2. H. Peter Boswijk & Philip Hans Franses, 1996. "Unit Roots In Periodic Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(3), pages 221-245, May.
    3. Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549, Decembrie.
    4. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    5. Hatanaka, Michio, 1996. "Time-Series-Based Econometrics: Unit Roots and Co-integrations," OUP Catalogue, Oxford University Press, number 9780198773535, Decembrie.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "The trade balance in euro countries: a natural case study of periodic integration with a changing mean," Working Papers 1321, Department of Applied Economics II, Universidad de Valencia.
    2. Tomás Barrio & Mariam Camarero & Cecilio Tamarit, 2019. "Testing for Periodic Integration with a Changing Mean," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 45-75, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Clements, M.P. & Smith, J., 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 487, University of Warwick, Department of Economics.
    2. Franses, P.H. & McAleer, M., 1995. "Testing Nested and Non-Nested Periodically Integrated Autoregressive Models," Papers 9510, Tilburg - Center for Economic Research.
    3. Elizabeth Bucacos, 2008. "Real (effective) exchange rate in Uruguay: a periodic cointegration approach," Monetaria, CEMLA, vol. 0(2), pages 265-289, julio-sep.
    4. M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
    5. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019. "Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence," Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
    6. Tolga Omay & Muhammad Shahbaz & Chris Stewart, 2021. "Is there really hysteresis in the OECD unemployment rates? New evidence using a Fourier panel unit root test," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(4), pages 875-901, November.
    7. Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.
    8. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
    9. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, January.
    10. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 243-270.
    11. Skalin, Joakim & Teräsvirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(2), pages 202-241, April.
    12. Robert M. Kunst & Michael Reutter, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series 286, CESifo.
    13. Antoine Martin & Cyril Monnet, 2008. "Marcos de implementación de la política monetaria: un análisis comparativo," Monetaria, CEMLA, vol. 0(2), pages 221-262, julio-sep.
    14. Smith, Jeremy & Otero, Jesus, 1997. "Structural breaks and seasonal integration," Economics Letters, Elsevier, vol. 56(1), pages 13-19, September.
    15. Luis Fernando Melo Velandia & Óscar Reinaldo Becerra Camargo, 2008. "Una descripción de la dinámica de las tasas de interés de corto plazo en Colombia," Monetaria, CEMLA, vol. 0(2), pages 145-173, julio-sep.
    16. Breitung, Jorg & Franses, Philip Hans, 1997. "Impulse response functions for periodic integration," Economics Letters, Elsevier, vol. 55(1), pages 35-40, August.
    17. Swanson, Norman R. & Urbach, Richard, 2015. "Prediction and simulation using simple models characterized by nonstationarity and seasonality," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 312-323.
    18. del Barrio Castro, Tomás & Osborn, Denise R., 2008. "Cointegration For Periodically Integrated Processes," Econometric Theory, Cambridge University Press, vol. 24(1), pages 109-142, February.
    19. Artur C. B. da Silva Lopes & Antonio Montanes, 2005. "The Behavior Of Hegy Tests For Quarterly Time Series With Seasonal Mean Shifts," Econometric Reviews, Taylor & Francis Journals, vol. 24(1), pages 83-108.
    20. Tomás Barrio & Mariam Camarero & Cecilio Tamarit, 2019. "Testing for Periodic Integration with a Changing Mean," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 45-75, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:43:y:1997:i:3:p:467-473. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.