- Unit roots in periodic autoregressions
- Journal of Time Series Analysis
- Volume | Issue number
- 17 | 3
- Pages (from-to)
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
This paper analyses the presence and consequences of a unit root in periodic autoregressive models for univariate quarterly time series. First, we consider various representations of such models, including a new parametrization which facilitates imposing a unit root restriction. Next, we propose a class of likelihood ratio tests for a unit root, and we derive their asymptotic null distributions. Likelihood ratio tests for periodic parameter variation are also proposed. Finally, we analyze the impact on unit root inference of misspecifying a periodic process by a constant-parameter model.
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