F-test for seasonal differencing with a break-point

DOI10.1016/S0378-3758(97)00053-0zbMath0907.62097OpenAlexW1981149356MaRDI QIDQ1378766

Tze-Man Ng, Wai Keung Li

Publication date: 8 March 1999

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(97)00053-0

zbMATH Keywords

tablesWiener processesseasonal unit rootssimulation studiesbreak-pointbroken trend stationarityregular unit rootsstochastic trend stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Cites Work

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• Testing for nonstationary parameter specifications in seasonal time series models
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• The Parameter Inference for Nearly Nonstationary Time Series
• Intervention analysis and multiple time series
• Some Lagrange multiplier tests for seasonal differencing
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• THE IDENTIFICATION OF SEASONAL AUTOREGRESSIVE MODELS
• Testing for Unit Roots in Seasonal Time Series
• End-of-Sample Instability Tests

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