Likelihood Ratio Tests for Seasonal Unit Roots

DOI10.1111/1467-9892.00149zbMath0956.62086OpenAlexW2108332896MaRDI QIDQ2703247

Robert A. M. Taylor, Richard J. Smith

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00149

zbMATH Keywords

Brownian motionautoregressionsimilar testsauxiliary test regressiondifferential seasonal drift

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Economic time series analysis (91B84)

Related Items (14)

ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS ⋮ Bootstrapping the HEGY seasonal unit root tests ⋮ Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending ⋮ ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL ⋮ On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity ⋮ Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models ⋮ On Augmented Franses Tests for Seasonal Unit Roots ⋮ Deterministic versus stochastic seasonal fractional integration and structural breaks ⋮ REGRESSION-BASED SEASONAL UNIT ROOT TESTS ⋮ Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments ⋮ The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests ⋮ Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information ⋮ Variance ratio tests of the seasonal unit root hypothesis ⋮ Measurement errors and outliers in seasonal unit root testing

This page was built for publication: Likelihood Ratio Tests for Seasonal Unit Roots