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Seasonality, Cycles and Unit Roots

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Author Info
Mickael Salabasis
Sune Karlsson

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Abstract

Inference on ordinary unit roots, seasonal unit roots, seasonality and business cycles are fundamental issues in time series econometrics. This paper proposes a novel approach to inference on these features by focusing directly on the roots of the autoregressive polynomial rather than taking the standard route via the autoregressive coefficients. Allowing for unknown lag lengths and adopting a Bayesian approach we obtain posterior probabilities for the presence of these features in the data as well as the usual posteriors for the parameters of the model

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Paper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 268.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:ausm04:268

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Keywords: Bayesian model averaging autoregressive models

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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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References listed on IDEAS
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  1. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238. [Downloadable!] (restricted)
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  2. G. Huerta & M. West, 1999. "Priors and component structures in autoregressive time series models," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 61(4), pages 881-899. [Downloadable!] (restricted)
  3. Franses, Philip Hans & Hoek, Henk & Paap, Richard, 1997. "Bayesian analysis of seasonal unit roots and seasonal mean shifts," Journal of Econometrics, Elsevier, vol. 78(2), pages 359-380, June. [Downloadable!] (restricted)
  4. Lubrano, Michel, 1995. "Testing for unit roots in a Bayesian framework," Journal of Econometrics, Elsevier, vol. 69(1), pages 81-109, September. [Downloadable!] (restricted)
  5. DeJong, David N & Whiteman, Charles H, 1991. "The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function," American Economic Review, American Economic Association, vol. 81(3), pages 600-617, June. [Downloadable!] (restricted)
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