On periodic autoregressions and structural breaks in seasonal time series

Seasonal Time Series Models with Periodic Variances

This paper studies two types of seasonal time series models with periodic variances. Covariance structures of the noise component in the models are discussed. For parameters in the regression component, the performance of the least squares estimates relative to the best linear unbiased estimates is investigated, and some lower bounds for the eecient coeecient deened by the covariance matrices o...

Which OIC countries are catching up? Time Series Evidences with Multiple Structural Breaks

Abstract In this paper, income per capita convergence hypothesis is tested in selected OIC countries. For this purpose, we use the time series model and univariate KPSS stationary test with multiple structural breaks (Carrion-i-Silvestre et al. (2005)) over the period 1950-2008. The results show that most OIC countries could not catch up toward USA. Although because of some positive term of tra...

Seasonal Specific Structural Time Series Models

This paper introduces the class of seasonal specific structural time series models, according to which each season follows specific dynamics, but is also tied to the others by a common random effects. This results in a dynamic variance components model that can account for some kind of periodic behaviour, such as periodic heteroscedasticity, and is tailored to deal with situations when one or a...

Nonlinearity, Structural Breaks or Outliers in Economic Time Series?

This paper has its motivation from discussions at the E C 2 conference in 1995. y Financial support from the Social Sciences and Humanities Research Council of Canada is gratefully acknowledged , as are helpful discussions with Sid Chib and Les Oxley. z Financial support from the Academic Senate UCLA and Center for Computable Economics, UCLA is gratefully acknowledged. In recent years there has...

State-Space Time Series Modeling of Structural Breaks