Seasonality, Cycles and Unit Roots
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
|Date of creation:||11 Aug 2004|
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"Seasonal, Integration And Cointegration,"
6-88-2, Pennsylvania State - Department of Economics.
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Econometric Institute Research Papers
EI 9527-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Schotman, Peter C., 1994. "Priors For The Ar(1) Model: Parameterization Issues and Time Series Considerations," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 579-595, August.
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