IDEAS home Printed from https://ideas.repec.org/r/oxp/obooks/9780198774549.html
   My bibliography  Save this item

Periodicity and Stochastic Trends in Economic Time Series

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
  2. Gustavsson, Patrik & Nordström, Jonas, 1999. "The Impact of Seasonal Unit Roots and Vector ARMA Modeling on Forecasting Monthly Tourism Flows," Working Paper Series 150, Trade Union Institute for Economic Research, revised 01 Jul 2000.
  3. Franses, P.H. & McAleer, M., 1995. "Testing Nested and Non-Nested Periodically Integrated Autoregressive Models," Discussion Paper 1995-10, Tilburg University, Center for Economic Research.
  4. del Barrio Castro, Tomás & Osborn, Denise R., 2008. "Cointegration For Periodically Integrated Processes," Econometric Theory, Cambridge University Press, vol. 24(1), pages 109-142, February.
  5. Michael Reutter, 2000. "Hysteresis in West German Unemployment Reconsidered," CESifo Working Paper Series 240, CESifo.
  6. Swanson, Norman R. & Urbach, Richard, 2015. "Prediction and simulation using simple models characterized by nonstationarity and seasonality," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 312-323.
  7. Luis Fernando Melo Velandia & Óscar Reinaldo Becerra Camargo, 2008. "Una descripción de la dinámica de las tasas de interés de corto plazo en Colombia," Monetaria, CEMLA, vol. 0(2), pages 145-173, julio-sep.
  8. Paulo M.M. Rodrigues & Pedro M.D.C.B. Gouveia, 2004. "An Application of PAR Models for Tourism Forecasting," Tourism Economics, , vol. 10(3), pages 281-303, September.
  9. A. Christian Silva & Ju-Yi J. Yen, 2008. "Stochastic resonance and the trade arrival rate of stocks," Papers 0807.0925, arXiv.org.
  10. Herwartz, Helmut, 1997. "Performance of periodic error correction models in forecasting consumption data," International Journal of Forecasting, Elsevier, vol. 13(3), pages 421-431, September.
  11. Kenneth Leong & Michael McAleer, 2000. "Testing long-run neutrality using intra-year data," Applied Economics, Taylor & Francis Journals, vol. 32(1), pages 25-37.
  12. Yang, Lijian & Park, Byeong U. & Xue, Lan & Hardle, Wolfgang, 2006. "Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1212-1227, September.
  13. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
  14. A. R. Soltani & A. R. Nematollahi & M. R. Mahmoudi, 2019. "On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 307-322, July.
  15. Clements, M.P. & Smith, J., 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 487, University of Warwick, Department of Economics.
  16. Dillon Alleyne, 2006. "Can Seasonal Unit Root Testing Improve the Forecasting Accuracy of Tourist Arrivals?," Tourism Economics, , vol. 12(1), pages 45-64, March.
  17. Philip Hans Franses & Richard Paap, 2000. "Modelling day-of-the-week seasonality in the S&P 500 index," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 483-488.
  18. Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August.
  19. Olexa, Michal, 1999. "Analysis and Econometric Modelling of the Fiscal Sector in the Slovak Republic," Transition Economics Series 2, Institute for Advanced Studies.
  20. Breitung, Jorg & Franses, Philip Hans, 1997. "Impulse response functions for periodic integration," Economics Letters, Elsevier, vol. 55(1), pages 35-40, August.
  21. Bentzen, Jan & Smith, Valdemar, 2002. "An empirical analysis of the interrelations among the export of red wine from France, Italy and Spain," Working Papers 02-8, University of Aarhus, Aarhus School of Business, Department of Economics.
  22. Elizabeth Bucacos, 2008. "Real (effective) exchange rate in Uruguay: a periodic cointegration approach," Monetaria, CEMLA, vol. 0(2), pages 265-289, julio-sep.
  23. Jonathan Aylen & Kevin Albertson & Gina Cavan, 2014. "The impact of weather and climate on tourist demand: the case of Chester Zoo," Climatic Change, Springer, vol. 127(2), pages 183-197, November.
  24. Franses, Philip Hans & Paap, Richard, 1999. "Does Seasonality Influence the Dating of Business Cycle Turning Points?," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 79-92, January.
  25. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, Department of Economics and Business Economics, Aarhus University.
  26. Clive W. J. Granger, 2003. "Time Series Concepts for Conditional Distributions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 689-701, December.
  27. T. Manouchehri & A. R. Nematollahi, 2019. "Periodic autoregressive models with closed skew-normal innovations," Computational Statistics, Springer, vol. 34(3), pages 1183-1213, September.
  28. Paulo Rodrigues & Denise Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 985-1004.
  29. Melard, G. & Pasteels, J. -M., 2000. "Automatic ARIMA modeling including interventions, using time series expert software," International Journal of Forecasting, Elsevier, vol. 16(4), pages 497-508.
  30. Beenstock, Michael & Reingewertz, Yaniv & Paldor, Nathan, 2016. "Testing the historic tracking of climate models," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1234-1246.
  31. Ee Leng Lau & G. K. Randolph Tan & Shahidur Rahman, 2005. "Assessing Pre-Crisis Fundamentals In Selected Asian Stock Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 50(02), pages 175-196.
  32. Łukasz Lenart & Błażej Mazur, 2016. "On Bayesian Inference for Almost Periodic in Mean Autoregressive Models," FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making, in: Magdalena Osińska (ed.), Statistical Review, vol. 63, 2016, 3, edition 1, volume 63, chapter 1, pages 255-272, University of Lodz.
  33. Antoine Martin & Cyril Monnet, 2008. "Marcos de implementación de la política monetaria: un análisis comparativo," Monetaria, CEMLA, vol. 0(2), pages 221-262, julio-sep.
  34. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  35. Mahmoudi, Mohammad Reza & Heydari, Mohammad Hossein & Roohi, Reza, 2019. "A new method to compare the spectral densities of two independent periodically correlated time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 160(C), pages 103-110.
  36. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, January.
  37. Franses, Philip Hans & van Dijk, Dick, 2005. "The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production," International Journal of Forecasting, Elsevier, vol. 21(1), pages 87-102.
  38. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 243-270.
  39. Dennis Fok & Philip Hans Franses, 2013. "Testing earnings management," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(3), pages 281-292, August.
  40. A. Soltani & M. Hashemi, 2011. "Periodically correlated autoregressive Hilbertian processes," Statistical Inference for Stochastic Processes, Springer, vol. 14(2), pages 177-188, May.
  41. Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008. "Seasonal Nonlinear Long Memory Model for the US Inflation Rates," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 243-254, April.
  42. Gabriel Pons Rotger, 2004. "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers 2004-1, Department of Economics and Business Economics, Aarhus University.
  43. Chongshan Zhang & Xiangrong Yin, 2012. "Trending time-varying coefficient market models," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1533-1546, October.
  44. Birgitte Andersen & Vivien Walsh, 2000. "Co-Evolution Within Chemical Technology Systems: A Competence Bloc Approach," Industry and Innovation, Taylor & Francis Journals, vol. 7(1), pages 77-115.
  45. Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta, 2003. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 79-98, June.
  46. Proietti Tommaso, 2004. "Seasonal Specific Structural Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-22, May.
  47. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
  48. Ralf Becker & Walter Enders & A. Stan Hurn, 2001. "Testing for Time Dependence in Parameters," Research Paper Series 58, Quantitative Finance Research Centre, University of Technology, Sydney.
  49. Ghysels, Eric, 2016. "Macroeconomics and the reality of mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 294-314.
  50. Elizabeth Bucacos, 2007. "Real (effective) exchange rate in Uruguay: a periodic cointegration approach," Documentos de trabajo 2007002, Banco Central del Uruguay.
  51. Artur C. B. da Silva Lopes & Antonio Montanes, 2005. "The Behavior Of Hegy Tests For Quarterly Time Series With Seasonal Mean Shifts," Econometric Reviews, Taylor & Francis Journals, vol. 24(1), pages 83-108.
  52. Castro, Glaysar & Girardin, Valerie, 2008. "Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes," Statistics & Probability Letters, Elsevier, vol. 78(2), pages 158-164, February.
  53. Maekawa, Koichi, 1997. "Periodically integrated autoregression with a structural break," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 467-473.
  54. Leong, Kenneth, 1997. "Seasonal integration in economic time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 413-419.
  55. Yorghos Tripodis & Jeremy Penzer, 2009. "Modelling time series with season-dependent autocorrelation structure," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 559-574.
  56. Hamori, Shigeyuki, 2001. "Seasonality and stock returns: some evidence from Japan," Japan and the World Economy, Elsevier, vol. 13(4), pages 463-481, December.
  57. Bradley Michael D. & Jansen Dennis W., 2000. "Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(2), pages 1-23, July.
  58. Vinci, Linda & Floris, Joël & Koepke, Nikola & Matthes, Katarina L. & Bochud, Murielle & Bender, Nicole & Rohrmann, Sabine & Faeh, David & Staub, Kaspar, 2019. "Have Swiss adult males and females stopped growing taller? Evidence from the population-based nutrition survey menuCH, 2014/2015," Economics & Human Biology, Elsevier, vol. 33(C), pages 201-210.
  59. Mohammad Reza Mahmoudi & Mohsen Maleki, 2017. "A new method to detect periodically correlated structure," Computational Statistics, Springer, vol. 32(4), pages 1569-1581, December.
  60. Capistrán, Carlos & Constandse, Christian & Ramos-Francia, Manuel, 2010. "Multi-horizon inflation forecasts using disaggregated data," Economic Modelling, Elsevier, vol. 27(3), pages 666-677, May.
  61. Evren Erdoğan Cosar, 2006. "Seasonal behaviour of the consumer price index of Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 13(7), pages 449-455.
  62. Skalin, Joakim & Teräsvirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(2), pages 202-241, April.
  63. Artur Silva Lopes, 2006. "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, vol. 31(1), pages 165-182, March.
  64. Leong, Kenneth & McAleer, Michael, 1999. "Testing the life-cycle permanent income hypothesis using intra-year data for Sweden," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 551-560.
  65. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911.
  66. Gu Pang & Bartosz Gebka, 2017. "Forecasting container throughput using aggregate or terminal-specific data? The case of Tanjung Priok Port, Indonesia," International Journal of Production Research, Taylor & Francis Journals, vol. 55(9), pages 2454-2469, May.
  67. Mitsuhiro Kaneda & Gil Mehrez, 1998. "Seasonal Fluctuations and International Trade," International Trade 9809001, University Library of Munich, Germany.
  68. Fernando N. de Oliveira, 2008. "Canal de crédito bancario en Brasil: evidencia de la oferta de crédito bancario y de la composición del financiamiento externo de las empresas," Monetaria, CEMLA, vol. 0(2), pages 175-220, julio-sep.
  69. Man, K. S., 2004. "Linear prediction of temporal aggregates under model misspecification," International Journal of Forecasting, Elsevier, vol. 20(4), pages 659-670.
  70. Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies.
  71. Georgi N. Boshnakov & Bisher M. Iqelan, 2009. "Generation Of Time Series Models With Given Spectral Properties," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 349-368, May.
  72. Marc Lavoie & Gabriel Rodríguez, 2005. "The Economic Impact of Professional Teams on Monthly Hotel Occupancy Rates of Canadian Cities," Journal of Sports Economics, , vol. 6(3), pages 314-324, August.
  73. Capistrán Carlos & Constandse Christian & Ramos Francia Manuel, 2009. "Using Seasonal Models to Forecast Short-Run Inflation in Mexico," Working Papers 2009-05, Banco de México.
  74. Herwartz, Helmut, 2001. "Investigating the JPY/DEM-rate: arbitrage opportunities and a case for asymmetry," International Journal of Forecasting, Elsevier, vol. 17(2), pages 231-245.
  75. Haldrup Niels & Montañes Antonio & Sansó Andreu, 2011. "Detection of Additive Outliers in Seasonal Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-20, April.
  76. Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.
  77. Cai, Zongwu, 2003. "Trending Time-Varying Coefficient Models With Serially Correlated Errors," SFB 373 Discussion Papers 2003,7, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  78. Łukasz Lenart & Mateusz Pipień, 2015. "Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(3), pages 169-186, September.
  79. A. Christian Silva & Ju-Yi Yen, 2010. "Stochastic resonance and the trade arrival rate of stocks," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 461-466.
  80. Bibi, Abdelouahab & Lessak, Radia, 2009. "On stationarity and [beta]-mixing of periodic bilinear processes," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 79-87, January.
  81. Osborn, Denise R. & Heravi, Saeed & Birchenhall, C. R., 1999. "Seasonal unit roots and forecasts of two-digit European industrial production," International Journal of Forecasting, Elsevier, vol. 15(1), pages 27-47, February.
  82. Luciana Crosilla, 2006. "The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence," ISAE Working Papers 68, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  83. Ermini, Luigi, 1998. "A Tale of Three Seasonal Adjustment Procedures: The Case of Sweden's GDP," SSE/EFI Working Paper Series in Economics and Finance 230, Stockholm School of Economics.
  84. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  85. Elisabeth Gassiat & Céline Lévy‐Leduc, 2006. "Efficient Semiparametric Estimation of the Periods in a Superposition of Periodic Functions with Unknown Shape," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 877-910, November.
  86. Emanuela Marrocu, 2006. "An Investigation of the Effects of Data Transformation on Nonlinearity," Empirical Economics, Springer, vol. 31(4), pages 801-820, November.
  87. Kemal Çag̃lar Gög̃ebakan & Burak Alparslan Eroglu, 2022. "Non-parametric seasonal unit root tests under periodic non-stationary volatility," Computational Statistics, Springer, vol. 37(5), pages 2581-2636, November.
  88. Robert M. Kunst & Michael Reutter, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series 286, CESifo.
  89. Rodriguez, Gabriel & Sloboda, Michael J., 2005. "Modeling nonlinearities and asymmetries in quarterly revenues of the US telecommunications industry," Structural Change and Economic Dynamics, Elsevier, vol. 16(1), pages 137-158, March.
  90. Kloek, T., 1998. "Loss development forecasting models: an econometrician's view," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 251-261, December.
  91. Albertson, Kevin & Aylen, Jonathan, 2003. "Forecasting the behaviour of manufacturing inventory," International Journal of Forecasting, Elsevier, vol. 19(2), pages 299-311.
  92. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, August.
  93. Xialu Liu & Zongwu Cai & Rong Chen, 2015. "Functional coefficient seasonal time series models with an application of Hawaii tourism data," Computational Statistics, Springer, vol. 30(3), pages 719-744, September.
  94. Kunst, Robert M., 2014. "A Combined Nonparametric Test for Seasonal Unit Roots," Economics Series 303, Institute for Advanced Studies.
  95. Paap, Richard & Franses, Philip Hans & Hoek, Henk, 1997. "Mean shifts, unit roots and forecasting seasonal time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 357-368, September.
  96. Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series 233, Institute for Advanced Studies.
  97. Pedro M.D.C.B. Gouveia & Denise R. Osborn & Paulo M.M. Rodrigues, 2008. "Comparing Seasonal Forecasts of Industrial Production," Centre for Growth and Business Cycle Research Discussion Paper Series 102, Economics, The University of Manchester.
  98. Bauer, Dietmar, 2019. "Periodic and seasonal (co-)integration in the state space framework," Economics Letters, Elsevier, vol. 174(C), pages 165-168.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.