Unit roots in periodic autoregressions
| Authors |
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|---|---|
| Publication date | 1996 |
| Journal | Journal of Time Series Analysis |
| Volume | Issue number | 17 | 3 |
| Pages (from-to) | 221-245 |
| Number of pages | 25 |
| Organisations |
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| Abstract | 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. |
| Document type | Article |
| Published at |
https://doi.org/10.1111/j.1467-9892.1996.tb00274.x
(Final published version)
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| Permalink to this page | |
