Periodic VAR Processes and Intervention Models
In Part II of the book, we have considered cointegrated VAR models and we have seen that they give rise to nonstationary processes with potentially time varying first and second moments. Yet the models have time invariant coefficients. Nonstationarity, that is, time varying first and/or second moments of a process, can also be modelled in the framework of time varying coefficient processes. Suppose, for instance, that the time series under consideration show a seasonal pattern.
KeywordsIntervention Model Likelihood Ratio Statistic Periodic Model Error Covariance Matrix Periodic Process
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