• Journal of the Korean Statistical Society
• /
• v.27 no.1
• /
• pp.67-90
• /
• 1998

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.

• Journal of the Korean Statistical Society
• /
• v.26 no.3
• /
• pp.365-382
• /
• 1997

In this paper we study the behaviors of the generalized Durbin-Watson (DW) statistics when the nonstationary seasonal time series regression model is misspecified. It is observed that when the series is seasonally integrated the generalized DW statistic for the seasonal period order autocorrelation converges in probability to zero while teh generalized DW statistic for the first order autocorrelation has nondegenerate asymptotic distribution. When the series is regularly and seasonally integrated the generalized DW for the first order autocorrelation still converges in probability to zero.