Narrow search
Showing 1 - 10 of 4,512
Cover Image
Prediction and simulation using simple models characterized by nonstationarity and seasonality
Swanson, Norman R.; Urbach, Richard - In: International review of economics & finance : IREF 40 (2015), pp. 312-323
Persistent link: https://www.econbiz.de/10011573814
Cover Image
The Behaviour of Seasonal Unit Root Tests for Quarterly Time Series with Seasonal Mean Shifts
da Silva Lopes, Artur C.B; Montañes, Antonio - 1999
This paper studies the behaviour of the HEGY tests for quarterly data, for seasonal autoregressive unit roots, when the time series being analysed is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product, we also analyse the HEGY tests for the...
Persistent link: https://www.econbiz.de/10014175046
Cover Image
A combined nonparametric test for seasonal unit roots
Kunst, Robert M. - 2014
Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...
Persistent link: https://www.econbiz.de/10010252130
Cover Image
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
Cover Image
On GLS -- Detrending for Deterministic Seasonality Testing
Skrobotov, Anton - 2013
In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suff er from asymptotic size distortions under near integration. We also investigate the behavior of the...
Persistent link: https://www.econbiz.de/10013072779
Cover Image
The overall seasonal integration tests under non-stationary alternatives : a methodological note
El Montasser, Ghassen - 2011
, Ghysels, lee and Noh (1994) conducted a simulation study by considering the alternative of a non-seasonal random walk to … developing the limit theory of statistics of Dickey and Fuller Hasza [DHF] (1984) when the data are generated by a non … asymptotic theory of the statistics subsumed in the HEGY procedure. In this paper, I show that establishing the limit theory of F …
Persistent link: https://www.econbiz.de/10011524855
Cover Image
Performance of Periodic Time Series Models in Forecasting
Herwartz, Helmut - 1999
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/10014193101
Cover Image
The performance of lag selection and detrending methods for HEGY seasonal unit root tests
Castro, Tomás del Barrio; Osborn, Denise R.; Taylor, Robert - 2012
Persistent link: https://www.econbiz.de/10009659181
Cover Image
The performance of lag selection and detrending methods for HEGY seasonal unit root tests
Barrio Castro, Tomás del; Osborn, Denise R.; Taylor, Robert - In: Econometric reviews 35 (2016) 1/4, pp. 122-168
Persistent link: https://www.econbiz.de/10011549897
Cover Image
Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests
da Silva Lopes, Artur C.B. - 2006
In this paper, it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i …
Persistent link: https://www.econbiz.de/10012734515