Similar Search Results

The order of integration for quarterly macroeconomic time series: A simple testing strategy

Lopes, Artur C. B. da Silva - In: Empirical Economics 28 (2003) 4, pp. 783-794

An empirical example and a simulation study show that much more attention should be devoted to the practical issue of selecting the maximum admissible order of integration for quarterly macroeconomic time series. In fact, it is shown that when that order is too high, one may get (spurious)...

Persistent link: https://www.econbiz.de/10005382241

The treatment of seasonality in error correction models as unobserved component: a case study for an Austrian consumption function

Wüger, Michael; Thury, Gerhard - In: Empirical Economics 26 (2001) 2, pp. 325-341

This paper deals with an alternative approach to treating seasonality in error correction models for consumption with a …

Persistent link: https://www.econbiz.de/10005382296

Spurious deterministic seasonality and autocorrelation corrections with quarterly data: Further Monte Carlo results

Lopes, Artur C. B. da Silva - In: Empirical Economics 24 (1999) 2, pp. 341-359

results is that one should not try to measure the importance of deterministic seasonality nor test for its presence in the …

Persistent link: https://www.econbiz.de/10005382481

Deterministic seasonality in Dickey–Fuller tests: should we care?

Lopes, Artur Silva - In: Empirical Economics 31 (2006) 1, pp. 165-182

Persistent link: https://www.econbiz.de/10005382490

Standard and seasonal long memory in volatility: an application to Spanish inflation

Arteche, Josu - In: Empirical Economics 42 (2012) 3, pp. 693-712

Persistent link: https://www.econbiz.de/10010557883

A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics

Gil-Alana, Luis - In: Empirical Economics 38 (2010) 2, pp. 471-501

Persistent link: https://www.econbiz.de/10008594169

Sectoral trends and cycles in Germany

Cheung, Yin-Wong; Westermann, Frank - In: Empirical Economics 28 (2003) 1, pp. 141-156

We examine the comovements between the output indexes of three German sectors (manufacturing, mining, and agriculture) and the three corresponding sectoral stock market indexes. It is found that data with and without seasonal adjustment give mixed results on the long-run interaction between the...

Persistent link: https://www.econbiz.de/10005184274

Performance of periodic time series models in forecasting

Herwartz, Helmut - In: Empirical Economics 24 (1999) 2, pp. 271-301

The paper provides a comparison of alternative univariate time series models that are advocated for the analysis of seasonal data. Consumption and income series from (West-) Germany, United Kingdom, Japan and Sweden are investigated. The performance of competing models in forecasting is used to...

Persistent link: https://www.econbiz.de/10005612971

Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search

Proietti, Tommaso; Grassi, Stefano - In: Empirical Economics 48 (2015) 3, pp. 983-1011

, seasonality and calendar components, are deterministic or evolutive. We address it by applying a recently proposed Bayesian …, additional random explanatory variables that account for the evolution of the underlying level, slope, seasonality and trading …, either in the form of a time-varying level, or, less frequently, of a stochastic slope, or both. Seasonality is a more stable …

Persistent link: https://www.econbiz.de/10011240927

On the persistence of Spanish unemployment rates

Romero-Ávila, Diego; Usabiaga, Carlos - In: Empirical Economics 35 (2008) 1, pp. 77-99

high degree of persistence to Spanish unemployment due to labour market malfunctioning. We provide a detailed description …

Persistent link: https://www.econbiz.de/10010994362