Some tests for unit roots in seasonal time series with deterministic trends

DOI10.1016/0167-7152(93)90151-8zbMath0764.62070OpenAlexW1967082072MaRDI QIDQ1209458

Sung K. Ahn, Sinsup Cho

Publication date: 16 May 1993

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(93)90151-8

zbMATH Keywords

time seriesdeterministic trendsLagrange multiplier principleempirical percentilesfunctionals of stochastic integrals of standard Brownian bridgesseasonal periodstesting seasonal unit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (5)

On LM type tests for seasonal unit roots in quarterly data ⋮ Unit root tests for seasonal models with deterministic trends ⋮ On LM-type tests for seasonal unit roots in the presence of a break in trend ⋮ Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments ⋮ Asymptotic laws of successive least squares estimates for seasonal arima models and application

Cites Work

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• Testing for a unit root in time series regression
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• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• Testing for Unit Roots in Seasonal Time Series
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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