TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES

DOI10.1017/S0266466608080420zbMath1284.62533OpenAlexW2052434829MaRDI QIDQ3632411

Denise R. Osborn, Tomás del Barrio Castro

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080420

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Non-parametric testing for seasonally and periodically integrated processes ⋮ Using the HEGY Procedure When Not All Roots Are Present

Uses Software

• partsm

Cites Work

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• Testing for unit roots in autoregressive-moving average models of unknown order
• THE SUM OF FINITE MOVING AVERAGE PROCESSES
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Testing for Unit Roots in Seasonal Time Series

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