Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Model Misspecification in Nonstationary Seasonal Time Series

  • Sung K. Ahn (Department of Management and Systems, Washington State University, Pullman, WA 99164-4736, USA) ;
  • Park, Young J. (SAS Institute Inc., SAS Campus Drive, NC 27513, USA) ;
  • Cho, Sin-Sup (Department of Computer Science and Statistics, Seoul National University, Seoul 151-742)
  • Published : 1998.03.01
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Abstract

In this paper we analytically study model misspecification that arises in regression analysis of nonstationary seasonal time series. We assume the underlying data generating process is a seasonally or a regularly and seasonally integrated process. We first study consequences of totally misspecified cases where seasonal indicator variables, a linear time trend, or another statistically independent seasonally integrated process are used as predictor variables in order to model the nonstationary seasonal behavior of the dependent variable. Then we study consequences of partially misspecified cases where the dependent variable and a predictor variable are cointegrated at some, but not all of the frequencies corresponding to the nonstationary roots.

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