Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search

Author:

Proietti Tommaso,Grassi Stefano

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Reference45 articles.

1. Bell WR, Hillmer SC (1983) Modeling time series with calendar variation. J Bus Econ Stat 78:526–534

2. Bell WR, Martin DEK (2004) Modeling time-varying trading day effects in monthly time series. In ASA Proceedings of the joint statistical meetings, American Statistical Association, Alexandria

3. Busetti F, Harvey AC (2003) Seasonality tests. J Bus Econ Stat 21:420–436

4. Canova F, Hansen BE (1995) Are seasonal patterns constant over time? A test for seasonal stability. J Bus Econ Stat 13:237–252

5. Casella G, Girón FJ, Martínez ML, Moreno E (2009) Consistency of bayesian procedures for variable selection. Annal Stat 37:1207–1228

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