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Periodic VAR Processes and Intervention Models

In: New Introduction to Multiple Time Series Analysis

Author

Listed:
  • Helmut Lütkepohl

    (European University Institute)

Abstract

In Part II of the book, we have considered cointegrated VAR models and we have seen that they give rise to nonstationary processes with potentially time varying first and second moments. Yet the models have time invariant coefficients. Nonstationarity, that is, time varying first and/or second moments of a process, can also be modelled in the framework of time varying coefficient processes. Suppose, for instance, that the time series under consideration show a seasonal pattern.

Suggested Citation

  • Helmut Lütkepohl, 2005. "Periodic VAR Processes and Intervention Models," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 17, pages 585-610, Springer.
  • Handle: RePEc:spr:sprchp:978-3-540-27752-1_17
    DOI: 10.1007/978-3-540-27752-1_17
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