Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending

DOI10.1007/s00180-016-0688-9zbMath1417.62242OpenAlexW2266930188MaRDI QIDQ1695431

Andrii Bodnar, Tomás del Barrio Castro, Andreu Sanso

Publication date: 7 February 2018

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: http://www.uib.es/depart/deaweb/deawp/pdf/w73.pdf

zbMATH Keywords

\(p\) valuesGLS detrendingresponse surfacesHEGY test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

On cointegration for processes integrated at different frequencies

Cites Work

• Seasonal integration and cointegration
• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• Efficient tests of the seasonal unit root hypothesis
• Sample size, lag order and critical values of seasonal unit root tests
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Additional critical values and asymptotic representations for seasonal unit root tests
• Numerical distribution functions for seasonal stability tests
• Likelihood Ratio Tests for Seasonal Unit Roots
• ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
• Testing for Unit Roots in Monthly Time Series
• Efficient Tests for an Autoregressive Unit Root
• The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests

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