Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts

Philip Hans Franses, Henk Hoek and Richard Paap

No EI 9527-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean shifts instead of seasonal stochastic trends. This leads to analysing seasonal unit roots in the presence of mean shifts using Bayesian techniques. Our method is illustrated using several simulated and empirical data.

Keywords: Bayesian analysis; seasonality; structural breaks; unit roots (search for similar items in EconPapers)
JEL-codes: C11 C12 C22 (search for similar items in EconPapers)
Date: 1995-01-01
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Journal Article: Bayesian analysis of seasonal unit roots and seasonal mean shifts (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1354

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