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Mean shifts, unit roots and forecasting seasonal time series

โœ Scribed by Richard Paap; Philip Hans Franses; Henk Hoek


Book ID
114174982
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
810 KB
Volume
13
Category
Article
ISSN
0169-2070

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Increasing seasonal variation; unit root
โœ Franses, Philip Hans ;Hobijn, Bart ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 77 KB

In this paper we consider model selection for time series with increasing (or decreasing) seasonal variation, where this variation can be described by (seasonal) unit root models with significant deterministic components or by models with less unit roots but with shifts in seasonal means or trends.