Similar Search Results

Impulse response functions for periodic integration

Breitung, Jorg; Franses, Philip Hans - In: Economics Letters 55 (1997) 1, pp. 35-40

Persistent link: https://www.econbiz.de/10005307376

Model adequacy and influential observations

Franses, Philip Hans; Biessen, Guido - In: Economics Letters 38 (1992) 2, pp. 133-137

Persistent link: https://www.econbiz.de/10005257741

Spurious deterministic seasonality

Franses, Philip Hans; Hylleberg, Svend; Lee, Hahn S. - In: Economics Letters 48 (1995) 3-4, pp. 249-256

Persistent link: https://www.econbiz.de/10005257763

Error-correction modelling in discrete and continuous time

ten Cate, Arie; Franses, Philip Hans - In: Economics Letters 101 (2008) 2, pp. 140-141

This paper studies the model equation YTÂ =Â [lambda]YTÂ -Â 1Â +Â [alpha]0XTÂ +Â [alpha]1XTÂ -Â 1 and its error-correction equivalent as a temporal aggregate of an underlying true equation in continuous time. Given a stylized fact about [alpha]0Â /Â [alpha]1 we find that...

Persistent link: https://www.econbiz.de/10005257833

Testing for periodic integration

Peter Boswijk, H.; Franses, Philip Hans - In: Economics Letters 48 (1995) 3-4, pp. 241-248

Persistent link: https://www.econbiz.de/10005257988

On the econometrics of the geometric lag model

Franses, Philip Hans; van Oest, Rutger - In: Economics Letters 95 (2007) 2, pp. 291-296

Persistent link: https://www.econbiz.de/10005158800

A method to select between periodic cointegration and seasonal cointegration

Franses, Philip Hans - In: Economics Letters 41 (1993) 1, pp. 7-10

Persistent link: https://www.econbiz.de/10005158899

Moving average filters and unit roots

Franses, Philip Hans - In: Economics Letters 37 (1991) 4, pp. 399-403

Persistent link: https://www.econbiz.de/10005159008

Data revisions and periodic properties of macroeconomic data

Franses, Philip Hans - In: Economics Letters 120 (2013) 2, pp. 139-141

Many macroeconomic time series variables show signs of periodicity, that is, seasonal heteroskedasticity and seasonally varying autocorrelation structures. This paper argues that these periodic properties could in part be due to data revisions in case such revisions follow a particular format....

Persistent link: https://www.econbiz.de/10010678820

On the sensitivity of unit root inference to nonlinear data transformations

Franses, Philip Hans; Koop, Gary - In: Economics Letters 59 (1998) 1, pp. 7-15

Persistent link: https://www.econbiz.de/10005269739