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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
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Seasonal adjustment versus seasonality modelling : effect on tourism demand forecasting
Gasmi, Amira - In: Advances in management & applied economics 3 (2013) 4, pp. 119-132
In this study, we treat the seasonal variation in monthly time series in the context of the Western-European tourism demand for Tunisia, by presenting different techniques of detection of seasonality and the parametric and non-parametric approaches of seasonal adjustment. Then, we compare the...
Persistent link: https://www.econbiz.de/10009762132
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Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality
Swanson, Norman R. - 2013
importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …
Persistent link: https://www.econbiz.de/10012711524
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Prediction and simulation using simple models characterized by nonstationarity and seasonality
Swanson, Norman; Urbach, Richard - 2013
importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …
Persistent link: https://www.econbiz.de/10010334249
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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
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Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles
Rotger, Gabriel Pons - 2008
sequential test for monthly seasonal unit roots of Rodrigues and Franses (2003). It is shown by simulation that the monthly …
Persistent link: https://www.econbiz.de/10014217232
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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
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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 …
Persistent link: https://www.econbiz.de/10011524855
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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
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Comparison between Static and Dynamic Forecast in Autoregressive Integrated Moving Average for Seasonally Adjusted Headline Consumer Price Index
Jackson, Emerson Abraham - 2018
This empirical study has provided interpretive outcome from a univariate forecast using Box-Jenkins ARIMA methodology. The HCPI_SA seasonally adjusted data for Sierra Leone shows a robust model outcome with three months ahead prediction based on the STATIC method result. Test results like...
Persistent link: https://www.econbiz.de/10012921747