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Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series

✍ Scribed by Luis A. Gil-Alana


Book ID
111543158
Publisher
Springer US
Year
2003
Tongue
English
Weight
79 KB
Volume
22
Category
Article
ISSN
1572-9974

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## 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 over‐differencing. The forecasting pe