On trends and constants in periodic autoregressions |
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| Authors: | Richard Paap Philip Hans Franses |
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| Institution: | 1. Tinbergen Institute , Erasmus University Rotterdam;2. Econometric Institute and Rotterdam Institute for Business Economic Studies , Erasmus University Rotterdam |
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| Abstract: | Periodic autoregressions are characterised by autoregressive structures that vary with the season. If a time series is periodically integrated, one needs a seasonally varying differencing filter to remove the stochastic trend. When the periodic regression model contains constants and trends with unrestricted parameters, the data can show diverging seasonal deterministic trends. In this paper we derive explicit expressions for parameter restrictions that result in common deterministic trends under periodic trend stationarity and periodic integration. |
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