Periodic VAR Processes and Intervention Models

Helmut Lütkepohl

Chapter 17 in New Introduction to Multiple Time Series Analysis, 2005, pp 585-610 from Springer

Abstract: Abstract In Part II of the book, we have considered cointegrated VAR models and we have seen that they give rise to nonstationary processes with potentially time varying first and second moments. Yet the models have time invariant coefficients. Nonstationarity, that is, time varying first and/or second moments of a process, can also be modelled in the framework of time varying coefficient processes. Suppose, for instance, that the time series under consideration show a seasonal pattern.

Keywords: Intervention Model; Likelihood Ratio Statistic; Periodic Model; Error Covariance Matrix; Periodic Process (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/978-3-540-27752-1_17

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