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Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina
Mendez Parra, Maximiliano - Volkswirtschaftliche Fakultät, … - 2015
seasonality. The presence of zero values in some of the seasons is not explained by the absence of reporting but is the result of … domestic supply of three agricultural commodities in Argentina between 1994 and 2008, which observe the patterns of seasonality … described, is presented. Although, some evidence of stochastic seasonality has been found in some of these series, in general a …
Persistent link: https://www.econbiz.de/10011266121
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Seasonal and Periodic Long Memory Models in the In�ation Rates
Ben Nasr, Adnen; Trabelsi, Abdelwahed - Volkswirtschaftliche Fakultät, … - 2005
deterministic seasonality, the ARFISMA model, and the periodic ARFIMA (PARFIMA) model. These models are used to describe the …
Persistent link: https://www.econbiz.de/10008595907
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Does Ramadan Have Any Effect on Food Prices: A Dual-Calendar Perspective on the Turkish Data
Yucel, Eray M. - Volkswirtschaftliche Fakultät, … - 2005
The effects of a specific religious tradition on the food prices establish the central theme of this paper. In specific, I investigate whether the month Ramadan has any effect on food prices. I perform the analysis under two alternative calendar conventions, namely the Gregorian and Hijri...
Persistent link: https://www.econbiz.de/10005837100
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Detecting Peaks and Valleys in the Number of Births in Portugal
Caleiro, António - Volkswirtschaftliche Fakultät, … - 2008
Portugal is characterised by a noteworthy decline in fertility, which is a phenomenon that requires some intervention given the costs, namely economic and political, associated with it. Notwithstanding the downward trend in fertility, a careful observation of the data on the number of births in...
Persistent link: https://www.econbiz.de/10005616716
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Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests
B. da Silva Lopes, Artur C. - Volkswirtschaftliche Fakultät, … - 2005
In this paper it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affect only the deterministic seasonal cycle - really do matter for Dickey-Fuller long-run unit root tests.
Persistent link: https://www.econbiz.de/10005619442
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Extracting the Cyclical Component in Hours Worked: a Bayesian Approach
Bernardi, Mauro; Della Corte, Giuseppe; Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2008
The series on average hours worked in the manufacturing sector is a key leading indicator of the U.S. business cycle. The paper deals with robust estimation of the cyclical component for the seasonally adjusted time series. This is achieved by an unobserved components model featuring an...
Persistent link: https://www.econbiz.de/10005621547
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Bayesian stochastic model specification search for seasonal and calendar effects
Tommaso, Proietti; Stefano, Grassi - Volkswirtschaftliche Fakultät, … - 2010
We apply a recent methodology, Bayesian stochastic model specification search (SMSS), for the selection of the unobserved components (level, slope, seasonal cycles, trading days effects) that are stochastically evolving over time. SMSS hinges on two basic ingredients: the non-centered...
Persistent link: https://www.econbiz.de/10008753045
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Effect of Rainfall on Seasonals in Indian Manufacturing Production: Evidence from Sectoral Data
Kumawat, Lokendra - Volkswirtschaftliche Fakultät, … - 2010
Recent research has shown that the seasonals in Indian manufacturing production are affected by rainfall. Since the effect of rainfall comes through agricultural production, this finding raises the question of whether the effect is through demand channel or supply channel. This paper attempts to...
Persistent link: https://www.econbiz.de/10008674243
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Are exchange rates really free from seasonality? An exploratory analysis on monthly time series
Cellini, Roberto; Cuccia, Tiziana - Volkswirtschaftliche Fakultät, … - 2011
This article questions the assumption that exchange rates are non-seasonal and provides selected evidence of monthly time series of exchange rates in which significant seasonal components are present. However, the seasonal component appears to be absent in more recent data. Tentative...
Persistent link: https://www.econbiz.de/10009018262
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Asymptotic properties of weighted least squares estimation in weak parma models
Francq, Christian; Roy, Roch; Saidi, Abdessamad - Volkswirtschaftliche Fakultät, … - 2011
The aim of this work is to investigate the asymptotic properties of weighted least squares (WLS) estimation for causal and invertible periodic autoregressive moving average (PARMA) models with uncorrelated but dependent errors. Under mild assumptions, it is shown that the WLS estimators of PARMA...
Persistent link: https://www.econbiz.de/10008836433