Increasing seasonal variation; unit roots versus shifts in mean and trend

View Researcher's Other Codes

Disclaimer: The provided code links for this paper are external links. Science Nest has no responsibility for the accuracy, legality or content of these links. Also, by downloading this code(s), you agree to comply with the terms of use as set out by the author(s) of the code(s).

Please contact us in case of a broken link from here

Authors Philip Hans Franses, and Bart Hobijn
Journal/Conference Name Applied Stochastic Models and Data Analysis
Paper Category
Paper Abstract In this paper we consider model selection for time series with increasing (or decreasing) seasonal variation, where this variation can be described by (seasonal) unit root models with significant deterministic components or by models with less unit roots but with shifts in seasonal means or trends. As a model selection device we use tests based on the Osborn et al. regression, which we modify to allow for shifts in mean and trend. An application to disposable income in Japan yields that apparent unit roots are not robust to structural shifts induced by the Oil Crisis in the fourth quarter of 1973.
Date of publication 1998
Code Programming Language Python
Comment

Copyright Researcher 2021