On the seasonality of vector autoregression residuals

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 sea...

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Veröffentlicht in:	Economics letters 1985, Vol.18 (2), p.137-141
Hauptverfasser:	Burbidge, John B., Magee, L., Veall, Michael R.
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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