On Augmented Franses Tests for Seasonal Unit Roots

DOI10.1080/03610926.2013.809121zbMath1381.62243OpenAlexW2190752308MaRDI QIDQ2807639

Andreu Sansó Rossello, Tomás del Barrio Castro

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.809121

zbMATH Keywords

linear processseasonal unit rootsHEGY testsFranses tests

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Seasonal integration and cointegration
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Additional critical values and asymptotic representations for seasonal unit root tests
• Likelihood Ratio Tests for Seasonal Unit Roots
• ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS