Variance ratio tests of the seasonal unit root hypothesis
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Publication:261881
DOI10.1016/J.JECONOM.2003.12.012zbMath1337.62227OpenAlexW2010459170MaRDI QIDQ261881
Publication date: 24 March 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.12.012
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (11)
ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS ⋮ Nonparametric cointegration analysis of fractional systems with unknown integration orders ⋮ Unit root tests and dramatic shifts with infinite variance processes ⋮ Periodic autoregressive models for time series with integrated seasonality ⋮ Non-parametric testing for seasonally and periodically integrated processes ⋮ Rescaled variance tests for seasonal stationarity ⋮ INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES ⋮ Powerful nonparametric seasonal unit root tests ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC ⋮ Variance ratio tests of the seasonal unit root hypothesis
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