The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach
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Publication:3171925
DOI10.1080/09720502.2011.10700732zbMath1322.62083OpenAlexW2012348326MaRDI QIDQ3171925
Publication date: 5 October 2011
Published in: Journal of Interdisciplinary Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/09720502.2011.10700732
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
Cites Work
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- Seasonal integration and cointegration
- Measurement errors and outliers in seasonal unit root testing
- Understanding spurious regressions in econometrics
- Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
- On the performance of the DHF tests against nonstationary alternatives
- The Econometric Analysis of Seasonal Time Series
- Using the HEGY Procedure When Not All Roots Are Present
- Fourth-order moments of augmented arch processes
- ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
- Performance of seasonal unit root tests for monthly data
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