摘要 :
A periodically integrated autoregressive process for a time series which is observed s times per year is a process for which there exist s-1 co-integration relations between the annual series containing the s seasonal observations...
展开
A periodically integrated autoregressive process for a time series which is observed s times per year is a process for which there exist s-1 co-integration relations between the annual series containing the s seasonal observations. This means that there is a single unit root in the vector autoregression for these annual series. In the paper it is shown that temporally aggregating such a process dose not effect the presence of this unit root, i.e. the aggregated series is also periodically integrated.
收起
