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The effect of seasonal adjustment filters on tests for a unit root
Ghysels, Eric; Perron, Pierre - 1990
Persistent link: https://www.econbiz.de/10000809708
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Estimating deterministic trends with an integrated or stationary noise component
Perron, Pierre; Yabu, Tomoyoshi - In: Journal of econometrics 151 (2009) 1, pp. 56-69
Persistent link: https://www.econbiz.de/10003855082
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Modeling trigonometric seasonal components for monthly economic time series
Hindrayanto, Irma; Aston, John A. D.; Koopman, Siem Jan; … - 2010
Persistent link: https://www.econbiz.de/10003973301
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Forecasting return volatility : level shifts with varying jump probability and mean reversion
Xu, Jiawen; Perron, Pierre - In: International journal of forecasting 30 (2014) 3, pp. 449-463
Persistent link: https://www.econbiz.de/10010511565
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Modeling trigonometric seasonal components for monthly economic time series
Hindrayanto, Irma; Aston, John A.D.; Koopman, Siem Jan; … - 2010
The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...
Persistent link: https://www.econbiz.de/10011379642
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Nowcasting and forecasting economic growth in the euro area using principal components
Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014
Persistent link: https://www.econbiz.de/10010247448
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On trend-cycle-seasonal interactions
Hindrayanto, Irma; Jacobs, Jan; Osborn, Denise R. - 2014
Persistent link: https://www.econbiz.de/10010258403
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Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run
Chun, Sungju; Perron, Pierre - In: Applied economics 45 (2013) 22/24, pp. 3412-3528
Persistent link: https://www.econbiz.de/10010345346
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A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
Qu, Zhongjun; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 309-339
Persistent link: https://www.econbiz.de/10010253639
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Measuring financial cycles with a model-based filter : empirical evidence for the United States and the euro area
Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016
Persistent link: https://www.econbiz.de/10011439548