Asymmetry and nonstationarity for a seasonal time series model
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Publication:278236
DOI10.1016/J.JECONOM.2005.08.001zbMath1418.62357OpenAlexW1988975920MaRDI QIDQ278236
Publication date: 2 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.08.001
Gaussian asymptoticsinstrumental variable estimationHEGY modelrecursive mean adjustmentunemployment rate
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
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Tests for seasonal unit roots in panels of cross-sectionally correlated time series ⋮ Semiparametric estimation for partially linear models with \(\psi\)-weak dependent errors
Cites Work
- Seasonal integration and cointegration
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Seasonal unit roots in aggregate U.S. data (with discussion)
- On geometric ergodicity of the MTAR process
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
- Testing for two-regime threshold cointegration in vector error-correction models.
- Tests for seasonal unit roots. General to specific or specific to general?
- recursive Mean Adjustment for Unit Root Tests
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- Threshold Cointegration
- On Periodic Structures and Testing for Seasonal Unit Roots
- Threshold Autoregression with a Unit Root
- UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
- Testing for Unit Roots in Seasonal Time Series
- Robust Statistics
- A note on stationarity of the MTAR process on the boundary of the stationarity region
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