𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Seasonality with trend and cycle interactions in unobserved components models

✍ Scribed by Siem Jan Koopman; Kai Ming Lee

Book ID
111039297
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
918 KB
Volume
58
Category
Article
ISSN
0035-9254

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Tests of seasonal integration and cointe
Tests of seasonal integration and cointegration in multivariate unobserved component models
✍ Fabio Busetti πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 206 KB

## Abstract This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null hypothesis of a deterministic seasonal pattern against the alternative of seasonal integration is derived for a mod