Affordable Access

Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts

Authors
Disciplines
  • Economics
  • Mathematics

Abstract

In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean shifts instead of seasonal stochastic trends. This leads to analysing seasonal unit roots in the presence of mean shifts using Bayesian techniques. Our method is illustrated using several simulated and empirical data.

There are no comments yet on this publication. Be the first to share your thoughts.