PROIETTI, TOMMASO - In: Econometrics Journal 1 (1998) ConferenceIssue, pp. 1-1
The class of periodic autoregressive (PAR) models, suitably extended so as to allow for 'periodic integration', has … literature. An elaborate modelling strategy has been proposed, and new tests for periodic integration have been envisaged, whose … arises as a consequence of periodic integration. This paper aims at challenging this view by means of a Monte Carlo …