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On trends and constants in periodic autoregressions 

Authors: Richard Paap a; Philip Hans Franses b
Affiliations:   a Tinbergen Institute,
b Econometric Institute and Rotterdam Institute for Business Economic Studies, Erasmus University Rotterdam
DOI: 10.1080/07474939908800446
Publication Frequency: 6 issues per year
Published in: journal Econometric Reviews, Volume 18, Issue 3 1999 , pages 271 - 286
Formats available: PDF (English)
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Abstract

Periodic autoregressions are characterised by autoregressive structures that vary with the season. If a time series is periodically integrated, one needs a seasonally varying differencing filter to remove the stochastic trend. When the periodic regression model contains constants and trends with unrestricted parameters, the data can show diverging seasonal deterministic trends. In this paper we derive explicit expressions for parameter restrictions that result in common deterministic trends under periodic trend stationarity and periodic integration.
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