Name
Title | ||
|---|---|---|
Deterministic versus stochastic seasonal fractional integration and structural breaks |
Abstract | ||
|---|---|---|
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional
(stationary and nonstationary) seasonal orders of integration, and also incorporating endogenously determined structural breaks.
Monte Carlo analysis shows that, in the case of a single break, the suggested procedure performs well even in small samples,
accurately capturing the seasonal properties of the series, and correctly detecting the break date. As an illustration, the
model is estimated using four US series (output, consumption, imports and exports). The results suggest that the seasonal
patterns of these variables have changed over time: specifically, in the second subsample the systematic component of seasonality
becomes insignificant, whilst the degree of persistence increases. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1007/s11222-011-9227-2 | Statistics and Computing |
Keywords | DocType | Volume |
Deterministic and stochastic seasonality,Fractional integration,Structural breaks | Journal | 22 |
Issue | ISSN | Citations |
2 | 0960-3174 | 1 |
PageRank | References | Authors |
0.41 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Guglielmo Maria Caporale | 1 | 8 | 2.19 |
| Juncal Cunado | 2 | 1 | 0.41 |
| Luis A. Gil-Alana | 3 | 5 | 1.86 |