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

Philip Hans Franses, Bart Hobijn

Research output: Contribution to journalArticle

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.9 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.

Original languageEnglish (US)
Pages (from-to)255-261
Number of pages7
JournalApplied Stochastic Models and Data Analysis
Volume14
Issue number2-3
DOIs
StatePublished - 1998
Externally publishedYes

Keywords

  • Seasonality
  • Structural breaks jel-: C22
  • Trends
  • Unit roots

ASJC Scopus subject areas

  • Modeling and Simulation
  • Management of Technology and Innovation

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