Recursive demeaning and deterministic seasonality

DOI10.1016/J.SPL.2004.11.025zbMath1075.62082OpenAlexW2072419170MaRDI QIDQ1779676

Vladimir Kuzin

Publication date: 1 June 2005

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

Full work available at URL: https://doi.org/10.1016/j.spl.2004.11.025

zbMATH Keywords

Cauchy estimatorSeasonal dummiesRecursive demeaning

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (1)

Recursive adjustment for general deterministic components and improved cointegration rank tests

Cites Work

• Seasonal integration and cointegration
• Nonlinear instrumental variable estimation of an autoregression.
• Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• recursive Mean Adjustment for Unit Root Tests
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Testing for Unit Roots in Seasonal Time Series
• Recursive mean adjustment and tests for nonstationarities

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