Similar Search Results

Forecasting high-frequency electricity demand with a diffusion index model.

Rotger, G.P.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2006

We propose a discussion index model (Stock and Watson, 2002) to fore- cast electricity demand for one hour to one week ahead. The model is particularly useful as it captures complicated seasonal patterns in the data. The forecast performance of the proposed method is illustrated with a simulated...

Persistent link: https://www.econbiz.de/10005795591

Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - School of Economics and Management, University of Aarhus - 2005

This paper presents a new framework for coping with problems often encountered when modeling seasonal high frequency data containing both flow and stock variables. The idea is to apply a multivariate weekly representation of a daily periodic model and to exploit the possible cointegration and...

Persistent link: https://www.econbiz.de/10010851169

Chapter 13 Forecasting Seasonal Time Series

Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - In: Handbook of economic forecasting : Band 1, (pp. 659-711). 2006

integrated models and deterministic seasonality models. As well as examining how forecasts are computed in each case, the …. Section 3 discusses less traditional models, specifically nonlinear seasonal models and models for seasonality in variance …. Such nonlinear models primarily concentrate on interactions between seasonality and the business cycle, either using a …

Persistent link: https://www.econbiz.de/10014023693

Testing for Unit Roots in Semi-Annual Data

Feltham, Sandra G.; Giles, David E.A. - Department of Economics, University of Victoria - 1999

We consider the problem of testing for unit roots at the zero and seasonal frequencies in time-series data which are recorded semi-annually. The proposed methodology follows that of Hylleberg et al. (1990) and Beaulieu and Miron (1993) for quarterly and monthly data respectively. The...

Persistent link: https://www.econbiz.de/10005750309

Using the HEGY Procedure When Not All Roots Are Present

Castro, Tomas del Barrio - Facultat d'Economia i Empresa, Universitat de Barcelona - 2007

Empirical studies have shown little evidence to support the presence of all unit roots present in the filter in quarterly seasonal time series. This paper analyses the performance of the Hylleberg, Engle, Granger and Yoo (1990) (HEGY) procedure when the roots under the null are not all present....

Persistent link: https://www.econbiz.de/10005022352

Testing for Additive Outliers in Seasonally Integrated Time Series

Haldrup, Niels; Montañés, Antonio; Sansó, Andreu - School of Economics and Management, University of Aarhus - 2004

The detection of additive outliers in integrated variables has attracted some attention recently, see e.g. Shin et al. (1996), Vogelsang (1999) and Perron and Rodriguez (2003). This paper serves several purposes. We prove the inconsistency of the test proposed by Vogelsang, we extend the tests...

Persistent link: https://www.econbiz.de/10005114039

Detection of additive outliers in seasonal time series

Haldrup, Niels; Montañés, Antonio; Sansó, Andreu - School of Economics and Management, University of Aarhus - 2009

-seasonal processes. However, the presence of seasonality in the form of seasonally varying means and variances affect the properties of …

Persistent link: https://www.econbiz.de/10005042218

Testing for Additive Outliers in Seasonally Integrated Time Series

Haldrup, Niels; Montañés, Antonio; Sansó, Andreu - Departament d'Economia Aplicada, Facultat de Ciències … - 2005

Persistent link: https://www.econbiz.de/10005612451

A combined nonparametric test for seasonal unit roots

Kunst, Robert M. - 2014

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...

Persistent link: https://www.econbiz.de/10010252130

Seasonal unit root tests under structural breaks

Hassler, Uwe; Rodrigues, Paulo M. M. - 2002

In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite...

Persistent link: https://www.econbiz.de/10011524510