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Unit Roots In Periodic Autoregressions

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  • H. Peter Boswijk
  • Philip Hans Franses

Abstract

. This paper analyzes the presence and consequences of a unit root in periodic autoregressive models for univariate quarterly time series. First, we consider various representations of such models, including a new parametrization which facilitates imposing a unit root restriction. Next, we propose a class of likelihood ratio tests for a unit root, and we derive their asymptotic null distributions. Likelihood ratio tests for periodic parameter variation are also proposed. Finally, we analyze the impact on unit root inference of misspecifying a periodic process by a constant‐parameter model.

Suggested Citation

  • H. Peter Boswijk & Philip Hans Franses, 1996. "Unit Roots In Periodic Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(3), pages 221-245, May.
    • Handle: RePEc:bla:jtsera:v:17:y:1996:i:3:p:221-245
    DOI: 10.1111/j.1467-9892.1996.tb00274.x
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