Category Archives: time series

Testing for seasonal stability
Canova and Hansen test statistic

Seasonal patterns are common in many time series data (e.g. macroeconomic or meteorological data). One of the issues to be analyzed when working with seasonal data is whether the seasonal pattern remains relatively stable over the sample period or whether … Continue reading

Posted in R, time series | Tagged , , | Leave a comment

Does a seasonal ARIMA model involve seasonality?

The question posed in the title may seem a tautology, but it’s not. If an ARIMA model (chosen by any manual or automated procedure) contains lags of seasonal order, it does not necessarily mean that there is a relevant seasonal … Continue reading

Posted in time series | Tagged , | Leave a comment

$$F$$-test statistic in autoregressive models

Under the framework of the classical linear regression model, the ordinary least squares (OLS) estimator has good properties: it is unbiased, has minimum variance compared to other linear estimators and the usual test statistics follow common distributions. An autoregressive model … Continue reading

Posted in regression model, simulations, time series | Tagged , , | Leave a comment

Variations on a maximum likelihood procedure

Structural time series models are a appealing frame work for time series modelling since components such as the trend or the seasonal are explicitly modelled. Besides, both deterministic components or stochastic components can be captured by these models. At first … Continue reading

Posted in applications, R, time series | Leave a comment

Unit root tests: an endless source of research articles

Note: The following are BibTex and pdf files containing the references cited in this post: bib.bib|references.pdf. As witnessed by the number of journal articles published in this area, unit root tests have been extensively studied. Here, I will review some … Continue reading

Posted in time series | Tagged | Leave a comment