This paper uses Monte Carlo simulations to analyze the performance of several seasonal unit root tests for monthly time series. The tests are those of Dickey, Hasza and Fuller (DHF), Hylleberg, Engle, Granger and Yoo (HEGY), and Osborn, Chui, Smith and Birchenhall (OCSB). The unit root test of...

In this paper we introduce a sequential seasonal unit root testing approach which explicitly addresses its application to high frequency data. The main idea is to see which unit roots at higher frequency data can also be found in temporally aggregated data. We illustrate our procedure to the...

Self-Exciting Threshold Autoregressive (SETAR) models are a non-linear variant of conventional linear Autoregressive (AR) models. One advantage of SETAR models over conventional AR models lies in its flexible nature in dealing with possible asymmetric behaviour of economic variables. The concept...

This paper proposes threshold models to analyze and forecast interval-valued time series. A relatively simple algorithm is proposed to obtain least square estimates of the threshold and slope parameters. The construction of forecasts based on the proposed model and methods for the analysis of...

Of the top ten global commercial property markets, London’s has had the highest transaction turnover for the past decade according to Real Capital Analytics. Its prime real estate is part of every major European and US institutional investor’s portfolio and London’s market has the most...

The models in structured families correspond to the treatments of a fixed effects base design <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\pi $$</EquationSource> </InlineEquation>. Then the action of factors in <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$\pi $$</EquationSource> </InlineEquation>, on the fixed effects parameters of the models, is studied. Analyzing such a families enables the study of the action of nesting factors on the...</equationsource></inlineequation></equationsource></inlineequation>