UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

H. Peter Boswijk () and Philip Hans Franses

Journal of Time Series Analysis, 1996, vol. 17, issue 3, 221-245

Abstract: Abstract. This paper analyzes the presence and consequences of a unit root in periodic autoregressive models for univariate quarterly time series. First, we consider various representations of such models, including a new parametrization which facilitates imposing a unit root restriction. Next, we propose a class of likelihood ratio tests for a unit root, and we derive their asymptotic null distributions. Likelihood ratio tests for periodic parameter variation are also proposed. Finally, we analyze the impact on unit root inference of misspecifying a periodic process by a constant‐parameter model.

Date: 1996
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https://doi.org/10.1111/j.1467-9892.1996.tb00274.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:17:y:1996:i:3:p:221-245

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