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On the seasonality of vector autoregression residuals

Burbidge, John B.; Magee, L.; Veall, Michael R. - In: Economics letters 18 (1985) 2/3, pp. 137-141

Persistent link: https://www.econbiz.de/10001966160

Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012821325

Identification of seasonal effects in impulse responses using score-driven multivariate location models

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Journal of econometric methods 10 (2021) 1, pp. 53-66

Persistent link: https://www.econbiz.de/10012437812

Forecasting the Polish inflation using Bayesian VAR models with seasonality

Stelmasiak, Damian; Szafrański, Grzegorz - In: Central European journal of economic modelling and … 8 (2016) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10011634880

Testing for deterministic seasonality in mixed-frequency VARs

Barrio Castro, Tomás del; Hecq, Alain W. J. - In: Economics letters 149 (2016), pp. 20-24

Persistent link: https://www.econbiz.de/10011620030

Genetic Algorithm Calibration of Seasonal BVAR Models

Quilis, Enrique M. - 2015

In this paper we explore the use of Genetic Algorithms (GA) to calibrate seasonal BVAR models. In this way, the mechanistic use of seasonal adjustment procedures is avoided, since seasonality becomes a structural, basic and explicit part of the BVAR model. At the same time, the use of GA allows...

Persistent link: https://www.econbiz.de/10014132203