Autore: Canova, Fabio
Titolo: Three tests for the existence of cycles in time series
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1992 - Fascicolo: 78 - Pagina iniziale: 1 - Pagina finale: 28

Three tests for the presence of cycles in univariate time series are proposed. The asymptotic distribution of the tests is derived using the properties of the integrated spectrum. The small sample power of the tests is computed using simulated data. The tests are applied to US data to detect the existence of significant seasonal and of other types of periodic fluctuations.




Testo completo: http://hdl.handle.net/1814/429

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