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The Behaviour Of Seasonal Unit Root Tests For Quarterly Time Series With Seasonal Mean Shifts
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Book Synopsis The Behaviour of Seasonal Unit Root Tests for Quarterly Time Series with Seasonal Mean Shifts by : Artur C.B da Silva Lopes
Download or read book The Behaviour of Seasonal Unit Root Tests for Quarterly Time Series with Seasonal Mean Shifts written by Artur C.B da Silva Lopes and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 nonseasonal unit root when the data generation process is also trend stationary. Our results show that, asymptotically, at least when the break magnitudes are finite, the HEGY test statistics are not biased towards the acceptance of the seasonal and nonseasonal unit root hypotheses. Just under some combinations of the parameters a larger sample size may be required to preserve the power properties of the tests. Hence, our results are also useful to understand and to predict the finite sample power performance of the test statistics under several circumstances.
Book Synopsis Seasonal Unit Root Tests Under Structural Breaks by : Uwe Hassler
Download or read book Seasonal Unit Root Tests Under Structural Breaks written by Uwe Hassler and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test, as well as an LM variant thereof, are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions and power reductions when breaks are present. Hence, a new break corrected LM test is proposed to overcome this problem. Importantly, the correction for seasonal mean shifts bears no consequence on the limiting distributions, thereby maintaining the legitimacy of canonical critical values. Moreover, although this test assumes a breakpoint a priori, it is robust in terms of misspecification of the time of the break. This asymptotic property is well reproduced in finite samples. Based on a Monte-Carlo study, our new test is compared with other procedures suggested in the literature and shown to hold superior finite sample properties.
Book Synopsis Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests by : Artur C. B. Da Silva Lopes
Download or read book Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests written by Artur C. B. Da Silva Lopes and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts i.e. seasonal structural breaks which affect only the seasonal cycle really do matter for Dickey-Fuller long-run unit root tests. Both size and power properties are affected by such breaks but using the t-sig method for lag selection induces a stabilizing effect. Although most results are reassuring when the t-sig method is used, some concern with this type of breaks cannot be disregarded. Further evidence on the poor performance of the t-sig method for quarterly time series in standard (no-break) cases is also presented.
Download or read book Economics Letters written by and published by . This book was released on 2002 with total page 954 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Econometrics written by and published by . This book was released on 1997 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mean Shifts, Unit Roots and Forecasting Seasonal Time Series by : Richard Paap
Download or read book Mean Shifts, Unit Roots and Forecasting Seasonal Time Series written by Richard Paap and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing seasonal patterns in economic time series can be described by auregressive models with seasonal unit roots or with deterministic sesaonal mean shifts.By means of simulation we demonstrate the impact of imposing the incorrect model on forecasting. We find for both cases that an inappropriate decision can deteriorate forecasting performance dramatically.
Book Synopsis Forecasting: principles and practice by : Rob J Hyndman
Download or read book Forecasting: principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Book Synopsis Statistical Theory and Method Abstracts by :
Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 1998 with total page 670 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometrics in Theory and Practice by : Robert Galata
Download or read book Econometrics in Theory and Practice written by Robert Galata and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: 9
Book Synopsis Mean Shifts, Unit Roots and Forecasting Seasonal Time Series by : Richard Paap
Download or read book Mean Shifts, Unit Roots and Forecasting Seasonal Time Series written by Richard Paap and published by . This book was released on 1996 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests by : Artur C.B. da Silva Lopes
Download or read book Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests written by Artur C.B. da Silva Lopes and published by . This book was released on 2006 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affect only the deterministic seasonal cycle - really do matter for Dickey-Fuller long-run unit root tests.
Author :Ghysels, Eric Publisher :Montréal : Université de Montréal, Dép. de sciences économiques ISBN 13 :9782893821313 Total Pages :40 pages Book Rating :4.8/5 (213 download)
Book Synopsis Testing for Unit Roots in Seasonal Time Series : Some Theoretical Extensions and a Monte Carlo Investigation by : Ghysels, Eric
Download or read book Testing for Unit Roots in Seasonal Time Series : Some Theoretical Extensions and a Monte Carlo Investigation written by Ghysels, Eric and published by Montréal : Université de Montréal, Dép. de sciences économiques. This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unit Root Tests in Time Series Volume 1 by : K. Patterson
Download or read book Unit Root Tests in Time Series Volume 1 written by K. Patterson and published by Springer. This book was released on 2011-02-25 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
Book Synopsis Critical Values for Unit Root Tests in Seasonal Time Series by : Philip Hans Franses
Download or read book Critical Values for Unit Root Tests in Seasonal Time Series written by Philip Hans Franses and published by . This book was released on 1994 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Comparison of Unit Root Tests for Time Series with Level Shifts by : Markku Lanne
Download or read book Comparison of Unit Root Tests for Time Series with Level Shifts written by Markku Lanne and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit root tests are considered for time series which have a level shift at a known point in time. The shift can have a very general nonlinear form, and additional deterministic mean and trend terms are allowed for. Prior to the tests, the deterministic parts and other nuisance parameters of the data generation process are estimated in a first step. Then, the series are adjusted for these terms and unit root tests of the Dickey-Fuller type are applied to the adjusted series. The properties of previously suggested tests of this sort are analysed and modifications are proposed which take into account estimation errors in the nuisance parameters. An important result is that estimation under the null hypothesis is preferable to estimation under local alternatives. This contrasts with results obtained by other authors for time series without level shifts.
Download or read book Journal of Travel Research written by and published by . This book was released on 2005-08 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Periodic Time Series Models by : Philip Hans Franses
Download or read book Periodic Time Series Models written by Philip Hans Franses and published by OUP Oxford. This book was released on 2004-03-25 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results. The first part of the book deals with model selection, diagnostic checking and forecasting of univariate periodic autoregressive models. Tests for periodic integration, are discussed, and an extensive discussion of the role of deterministic regressors in testing for periodic integration and in forecasting is provided. The second part discusses multivariate periodic autoregressive models. It provides an overview of periodic cointegration models, as these are the most relevant. This overview contains single-equation type tests and a full-system approach based on generalized method of moments. All methods are illustrated with extensive examples, and the book will be of interest to advanced graduate students and researchers in econometrics, as well as practitioners looking for an understanding of how to approach seasonal data.
