On the performance of the DHF tests against nonstationary alternatives

DOI10.1016/j.spl.2005.08.037zbMath1086.62093OpenAlexW2012313517MaRDI QIDQ2489804

Tomás del Barrio Castro

Publication date: 28 April 2006

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.08.037

zbMATH Keywords

SeasonalityUnit root testsDHF testVector of quarters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (2)

The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach ⋮ Using the HEGY Procedure When Not All Roots Are Present

Cites Work

• Seasonal integration and cointegration
• Understanding spurious regressions in econometrics
• Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
• Alternative estimators and unit root tests for seasonal autoregressive processes
• The Econometric Analysis of Seasonal Time Series
• Using the HEGY Procedure When Not All Roots Are Present
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Performance of seasonal unit root tests for monthly data
• Testing for Unit Roots in Seasonal Time Series

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