Journal article
On the seasonality of vector autoregression residuals
Abstract
This letter suggests that the correlation matrix of innovations from different equations should be based on residual vectors without seasonal patterns. Such residuals, however, do not always result from regressions with seasonally-adjusted data. In particular, seasonality can result if variables seasonally adjusted by least squares are lagged as independent variables instead of including a full set of seasonal dummies in the regression or …
Authors
Burbidge JB; Magee L; Veall MR
Journal
Economics Letters, Vol. 18, No. 2-3, pp. 137–141
Publisher
Elsevier
Publication Date
January 1985
DOI
10.1016/0165-1765(85)90168-5
ISSN
0165-1765