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Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters

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  • Eugen Ursu
  • Pierre Duchesne

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  • Eugen Ursu & Pierre Duchesne, 2009. "Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(2), pages 183-212.
  • Handle: RePEc:bla:stanee:v:63:y:2009:i:2:p:183-212
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    References listed on IDEAS

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    1. Parzen, Emanuel & Pagano, Marcello, 1979. "An approach to modeling seasonally stationary time series," Journal of Econometrics, Elsevier, vol. 9(1-2), pages 137-153, January.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    3. Osborn, Denise R & Smith, Jeremy P, 1989. "The Performance of Periodic Autoregressive Models in Forecasting Seasonal U. K. Consumption," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 117-127, January.
    4. Franses, Philip Hans & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030.
    5. Noakes, Donald J. & McLeod, A. Ian & Hipel, Keith W., 1985. "Forecasting monthly riverflow time series," International Journal of Forecasting, Elsevier, vol. 1(2), pages 179-190.
    6. Richard Paap & Philip Hans Franses, 1999. "On trends and constants in periodic autoregressions," Econometric Reviews, Taylor & Francis Journals, vol. 18(3), pages 271-286.
    7. Basawa, I. V. & Lund, Robert & Shao, Qin, 2004. "First-order seasonal autoregressive processes with periodically varying parameters," Statistics & Probability Letters, Elsevier, vol. 67(4), pages 299-306, May.
    8. Osborn, Denise R, 1988. "Seasonality and Habit Persistence in a Life Cycle Model of Consumptio n," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 255-266, October-D.
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    Cited by:

    1. Ursu, Eugen & Duchesne, Pierre, 2009. "On multiplicative seasonal modelling for vector time series," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2045-2052, October.

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