Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Tomás del Barrio Castro"'
Publikováno v:
Econometrics and Statistics. 17:95-106
To understand the impact of temporal aggregation on the properties of a seasonal long-memory process, the effects of skip and cumulation sampling on both stationary and nonstationary processes with poles at several potential frequencies are analyzed.
This paper explores the possibility of cointegration existing between processes integrated at di¤erent frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex- and real-valued re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b99924b5bb0b86e7f5f74ccbc45662bc
http://hdl.handle.net/2108/296969
http://hdl.handle.net/2108/296969
Publikováno v:
Journal of Time Series Analysis. 40:872-886
We investigate the implications that temporally aggregating, either by average sampling or systematic (skip) sampling, a seasonal process has on the integration properties of the resulting series at both the zero and seasonal frequencies. Our results
Publikováno v:
SSRN Electronic Journal.
This paper explores the possibility of cointegration existing between processes integrated at different frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex- and real-valued re
Publikováno v:
Econometric Theory. 34:447-476
It is well known that (seasonal) unit root tests can be seriously affected by the presence of weak dependence in the driving shocks when this is not accounted for. In the non-seasonal case both parametric (based around augmentation of the test regres
Autor:
Tomás del Barrio Castro, Alain Hecq
Publikováno v:
Economics Letters, 149, 20-24. Excerpta Medica, Elsevier Science
This paper investigates the presence of deterministic seasonal features within a mixed frequency vector autoregressive model. A strategy based on Wald tests is proposed.
Publikováno v:
Communications in Statistics - Theory and Methods. 44:5204-5212
This article extends the results reported in del Barrio Castro, Osborn and Taylor (2012) to the approach followed by Franses (1991a,b) to test for seasonal unit roots, providing the asymptotic representation to the seasonal unit roots tests proposed
Publikováno v:
Oxford Bulletin of Economics and Statistics. 77:495-511
In this paper, we analyse the impact of persistent cycles on the well-known semi-parametric unit root tests of Phillips and Perron (1988, Biometrika, Vol. 75, pp. 335–346). It is shown, both analytically and through Monte Carlo simulations, that th
Publikováno v:
Repositori Universitat Jaume I
Universitat Jaume I
Universitat Jaume I
We analyze imbalances in external accounts that have historically affected most developed countries. The purpose of this study was to shed some light on the sustainability of the current account for a group of OECD countries by merging the popular Hu
Publikováno v:
Journal of Time Series Analysis. 33:424-437
This article obtains the asymptotic distributions of the seasonal variance ratio tests proposed by A.M.R. Taylor (2005,Journal of Econometrics 124, 33) when these tests are applied to a periodically integrated process [PI(1)]. In contrast to the situ