Seasonal time series and autocorrelation function estimation

Manchester School

Volumn 70, Issue 5, 2002, Pages 651-665

  Lee, Hahn Shik ^a   Ghysels, Eric ^b   Bell, William R ^c  

^a Sogang University   (South Korea)

^b UNIVERSITY OF NORTH CAROLINA   (United States)

^c US Bureau of the Census   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038890021     PISSN: 14636786     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9957.00318     Document Type: Article

References (15)

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3. Box, G. E. P. and Jenkins, G. M. (1976). Time Series Analysis, Forecasting and Control, San Francisco, CA, Holden Day.
4. Dickey, D. A. and Fuller, W. A. (1979). 'Distribution of the Estimators for Autoregressive Time Series with a Unit Root', Journal of the American Statistical Association, Vol. 74, pp. 427-431.
5. Dickey, D. A., Hasza, H. P. and Fuller, W. A. (1984). 'Testing for Unit Roots in Seasonal Time Series', Journal of the American Statistical Association, Vol. 79, pp. 355-367.
6. Fuller, W. A. (1976). Introduction to Statistical Time Series, New York, Wiley.
7. Ghysels, E., Lee, H. S. and Noh, J. (1994). 'Testing for Unit Roots in Seasonal Time Series: Some Theoretical Extensions and a Monte Carlo Investigation', Journal of Econometrics, Vol. 62, pp. 415-442.
8. Hassler, U. (1997). 'Sample Autocorrelations of Nonstationary Fractionally Integrated Series', Statistical Papers, Vol. 39, pp. 43-62.
9. Hasza, D. P. (1980). 'The Asymptotic Distribution of the Sample Autocorrelations for the Integrated ARMA Process', Journal of the American Statistical Association, Vol. 75, pp. 349-352.
10. Hasza, D. P. and Fuller, W. A. (1982). 'Testing for Nonstationary Parameter Specifications in Seasonal Time Series Models', Annals of Statistics, Vol. 10, pp. 1209-1216.
11. Hylleberg, S., Engle, R. F., Granger, C. W. A. and Yoo, B. S. (1990). 'Seasonal Integration and Cointegration', Journal of Econometrics, Vol. 44, pp. 215-238.
12. Phillips, P. C. B. (1987). 'Time Series Regression with a Unit Root', Econometrica, Vol. 55, pp. 277-301.
13. Pierce, D. A. (1978). 'Seasonal Adjustment When Both Deterministic and Stochastic Seasonality are Present', in A. Zellner (ed.), Seasonal Analysis of Economic Time Series, Washington, DC, US Bureau of the Census, pp. 242-273.
14. Proietti, T. (1996). 'Persistence of Shocks in Seasonal Processes', Journal of Applied Econometrics, Vol. 11, pp. 383-396.
15. Taylor, A. M. R. and Leybourne, S. J. (1999). 'Detecting Seasonal Unit Roots: an Approach Based on the Sample Autocorrelation Function', The Manchester School, Vol. 67, pp. 261-286.