Groupe d’études et de recherche en analyse des décisions

G-2008-83

Estimation and Model Adequacy Checking for Multivariate Seasonal Autoregressive Time Series Models with Periodically Varying Parameters

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In this article, we introduce a class of multivariate seasonal time series models with periodically varying parameters, abbreviated by the acronym SPVAR. The model is suitable for multivariate data, and combines a periodic autoregressive structure and a multiplicative seasonal time series model. The stationarity conditions (in the periodic sense) and the theoretical autocovariance functions of SPVAR stochastic processes are derived. Estimation and checking stages are considered. The asymptotic normal distribution of the least squares estimators of the model parameters is established, and the asymptotic distributions of the residual autocovariance and autocorrelation matrices in the class of SPVAR time series models are obtained. In order to check model adequacy, portmanteau test statistics are considered and their asymptotic distributions are studied. A simulation study is briefly discussed to investigate the finite-sample properties of the proposed test statistics (the results are given in an Appendix). The methodology is illustrated with a bivariate quarterly data set on travellers entering to Canada.

, 36 pages