Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
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Publication:1591158
DOI10.1016/S0167-7152(00)00106-1zbMath1103.62340MaRDI QIDQ1591158
Publication date: 2000
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (3)
ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS ⋮ Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors ⋮ Estimation of spectral density for seasonal time series models
Cites Work
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- Seasonal integration and cointegration
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Asymptotics for linear processes
- Seasonal unit roots in aggregate U.S. data (with discussion)
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Matrix Analysis
- Testing for a unit root in time series regression
- On Periodic Structures and Testing for Seasonal Unit Roots
- Time Series Regression with a Unit Root
- Testing for Unit Roots in Seasonal Time Series
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