Forecasts of the seasonal fractional int
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Olivier DarnΓ©; Vivien Guiraud; Michel Terraza
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Article
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2004
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John Wiley and Sons
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English
β 132 KB
## Abstract We study the probability of rejecting the seasonal unit root tests developed by Hylleberg __et al__. when they are applied to fractionally integrated seasonal time series. We find that these tests have quite low power and that they lead to a risk of overβdifferencing. The forecasting pe