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The Effect of Linear Filters on Dynamic Time series with Structural Change

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Author Info
Perron, P.
Ghysels, E.

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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9425.

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Length: 19 pages
Date of creation: 1994
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Handle: RePEc:mtl:montde:9425

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Keywords: TIME SERIES ; ECONOMIC MODELS;

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  1. E. Andersson & D. Bock & M. Frisén, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor and Francis Journals, vol. 33(3), pages 257-278, April. [Downloadable!] (restricted)
  2. Andreas Humpe & Peter D. Macmillan, 2005. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CRIEFF Discussion Papers 0511, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
  3. Antonio Matas Mir & Denise R Osborn, 2004. "Seasonal adjustment and the detection of business cycle phases," Working Paper Series 357, European Central Bank. [Downloadable!]
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  4. Mauro Costantini & Sergio de Nardis, 2007. "Estimates of Structural Changes in the Wage Equation:Some Evidence for Italy," ISAE Working Papers 86, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
  5. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278. [Downloadable!]
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  6. Paulo M. M. Rodrigues, Denise R. Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor and Francis Journals, vol. 26(8), pages 985-1004, December. [Downloadable!] (restricted)
  7. Andreas Humpe & Peter Macmillan, 2007. " Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 0720, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
  8. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," The School of Economics Discussion Paper Series 0612, Economics, The University of Manchester. [Downloadable!]
  9. Ph.H.B.F. Franses & P.T. de Bruin, 1999. "Seasonal adjustment and the business cycle in unemployment," Econometric Institute Report 152, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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