A note on the application of the DF test to seasonal data

DOI10.1016/S0167-7152(99)00154-6zbMath0969.62059MaRDI QIDQ1974085

Paulo M. M. Rodrigues

Publication date: 4 October 2001

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

zbMATH Keywords

time seriesseasonal unit rootsDickey-Fuller test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Alternative estimators and unit root tests for seasonal autoregressive processes

Cites Work

• Seasonal integration and cointegration
• Moving average filters and unit roots
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH

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