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A Note on Overdifferencing and the Equivalence of Seasonal Time Series Models with Monthly Means and Models with (0, 1, 1)12 Seasonal Parts when Theta=1

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  • Bell, William

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  • Bell, William, 1987. "A Note on Overdifferencing and the Equivalence of Seasonal Time Series Models with Monthly Means and Models with (0, 1, 1)12 Seasonal Parts when Theta=1," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 383-387, July.
    • Handle: RePEc:bes:jnlbes:v:5:y:1987:i:3:p:383-87
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    Cited by:

    1. Swanson, Norman R. & Urbach, Richard, 2015. "Prediction and simulation using simple models characterized by nonstationarity and seasonality," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 312-323.
    2. Zacharias Psaradakis, 1997. "Testing for unit roots in time series with nearly deterministic seasonal variation," Econometric Reviews, Taylor & Francis Journals, vol. 16(4), pages 421-439.
    3. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 124(1), pages 33-54, January.
    4. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
    6. Taylor, A. M. Robert, 1997. "On the practical problems of computing seasonal unit root tests," International Journal of Forecasting, Elsevier, vol. 13(3), pages 307-318, September.

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