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Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts

Franses, Philip Hans; Paap, Richard; Hoek, Hoek, H. - Faculteit der Economische Wetenschappen, Erasmus … - 1995

In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean...

Persistent link: https://www.econbiz.de/10010731564

Testing for integration using evolving trend and seasonal models: A Bayesian approach

van Dijk, Herman K.; Koop, Koop, G. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...

Persistent link: https://www.econbiz.de/10010731571

The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production

Franses, Philip Hans; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 2001

Seasonality often accounts for the major part of quarterly or monthly movements in detrended macro-economic time series … we examine the forecasting performance of various models for seasonality and nonlinearity using quarterly industrial … horizons and across seasons. However, in general, linear models with fairly simple descriptions of seasonality outperform at …

Persistent link: https://www.econbiz.de/10010731660

Seasonality in revisions of macroeconomic data

Franses, Philip Hans; Segers, Rene - Faculteit der Economische Wetenschappen, Erasmus … - 2008

of deterministic seasonality in these series. We document that the data show most such deterministic seasonality for …

Persistent link: https://www.econbiz.de/10010731710

The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series

van Dijk, Dick; Strikholm, B.; Terasvirta, T. - Faculteit der Economische Wetenschappen, Erasmus … - 2001

in seasonality for industrial production series of the G7 countries. We find compelling evidence that the effects of …

Persistent link: https://www.econbiz.de/10010731731

Flexible Seasonal Long Memory and Economic Time Series

Ooms, Marius - Faculteit der Economische Wetenschappen, Erasmus … - 1995

We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a...

Persistent link: https://www.econbiz.de/10010731741

Simple approximations for option pricing under mean reversion and stochastic volatility

Hafner, Christian Matthias - Faculteit der Economische Wetenschappen, Erasmus … - 2003

commodity markets. Deterministic components in the mean and volatility are taken into consideration to allow for seasonality …

Persistent link: https://www.econbiz.de/10010731911

Forecasting high-frequency electricity demand with a diffusion index model.

Franses, Philip Hans; Rotger, G.P. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

We propose a discussion index model (Stock and Watson, 2002) to fore- cast electricity demand for one hour to one week ahead. The model is particularly useful as it captures complicated seasonal patterns in the data. The forecast performance of the proposed method is illustrated with a simulated...

Persistent link: https://www.econbiz.de/10010837726

Testing for seasonal unit roots in monthly panels of time series

Franses, Philip Hans; Kunst, Kunst, R.M. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel counterpart to the univariate RURS test that relies on...

Persistent link: https://www.econbiz.de/10010837807

Seasonal adjustment and the business cycle in unemployment

Franses, Philip Hans; de Bruin, de Bruin, P. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

finding is that seasonality tends to differ across the business cycle stages of recessions and expansions. Since seasonal …

Persistent link: https://www.econbiz.de/10010837895