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Modelling seasonality with fractionally integrated processes

Gil-Alaña, Luis A. - 2000

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...

Persistent link: https://www.econbiz.de/10009582382

Multiplicative SARIMA models

Chen, Rong; Schulz, Rainer; Stephan, Sabine - 2002

Persistent link: https://www.econbiz.de/10009621411

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

Persistent link: https://www.econbiz.de/10009612017

Rank tests for nonlinear cointegration

Breitung, Jörg - 1998

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …

Persistent link: https://www.econbiz.de/10009578004

Testing for the cointegrating rank of a VAR process with an intercept

Saikkonen, Pentti; Lütkepohl, Helmut - 1998

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative class of tests which is based on estimating the trend parameters of the...

Persistent link: https://www.econbiz.de/10009578014

Testing for the cointegrating rank of a VAR process with structural shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 2001

cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions …

Persistent link: https://www.econbiz.de/10009578552

Canonical correlation statistics for testing the cointegration rank in a reversed order

Breitung, Jörg - 1998

to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … to Johansen's LR tests for determining the cointegration rank. …

Persistent link: https://www.econbiz.de/10009578561

Some nonparametric tests for unit roots and cointegration

Breitung, Jörg - 1999

the cointegration rank in the spirit of Johansen (1988). …

Persistent link: https://www.econbiz.de/10009580478

Vector autoregressive analysis

Lütkepohl, Helmut - 1999

An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models … decompositions are presented as tools for analyzing VAR models. -- Cointegration ; forecasting ; dynamic econometric models ; impulse …

Persistent link: https://www.econbiz.de/10009580483

Forecasting cointegrated VARMA processes

Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10009581104