Powerful nonparametric seasonal unit root tests

DOI10.1016/J.ECONLET.2018.03.011zbMath1401.62135OpenAlexW2792686363WikidataQ130076667 ScholiaQ130076667MaRDI QIDQ1787583

Burak Alparslan Eroğlu, Mirza Trokić, Kemal Çağlar Göğebakan

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/49864

zbMATH Keywords

fractional integrationnonparametricseasonal unit roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

Periodic autoregressive models for time series with integrated seasonality ⋮ Rescaled variance tests for seasonal stationarity ⋮ Regulated seasonal unit root process ⋮ Non-parametric seasonal unit root tests under periodic non-stationary volatility ⋮ On the performance of the variance ratio unit root tests with flexible Fourier form

Cites Work

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• Variance ratio tests of the seasonal unit root hypothesis
• 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
• Weak convergence of multivariate fractional processes
• Nonparametric cointegration analysis of fractional systems with unknown integration orders
• ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
• Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
• The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests

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