Using the HEGY Procedure When Not All Roots Are Present

DOI10.1111/j.1467-9892.2007.00539.xzbMath1150.62044OpenAlexW2171669306MaRDI QIDQ3505337

Tomás del Barrio Castro

Publication date: 18 June 2008

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

Full work available at URL: http://hdl.handle.net/2445/12060

zbMATH Keywords

seasonalityHEGY testsunit-root tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Exact distribution theory in statistics (62E15)

Related Items (4)

The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach ⋮ Rescaled variance tests for seasonal stationarity ⋮ Using the HEGY Procedure When Not All Roots Are Present ⋮ On the performance of the DHF tests against nonstationary alternatives

Cites Work

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• Seasonal integration and cointegration
• Additional critical values and asymptotic representations for seasonal unit root tests
• Alternative estimators and unit root tests for seasonal autoregressive processes
• On the performance of the DHF tests against nonstationary alternatives
• The Econometric Analysis of Seasonal Time Series
• Asymptotic Properties of Residual Based Tests for Cointegration
• Using the HEGY Procedure When Not All Roots Are Present
• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• Testing for Unit Roots in Seasonal Time Series

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