REGRESSION-BASED SEASONAL UNIT ROOT TESTS

DOI10.1017/S0266466608090166zbMath1279.62174OpenAlexW1672056210MaRDI QIDQ3632432

Tomás del Barrio Castro, A. M. Robert Taylor, Richard J. Smith

Publication date: 11 June 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466608090166

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) Non-Markovian processes: hypothesis testing (62M07)

Related Items (15)

Numerical distribution functions for seasonal unit root tests ⋮ ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS ⋮ On cointegration for processes integrated at different frequencies ⋮ Rescaled variance tests for seasonal stationarity ⋮ Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending ⋮ Regulated seasonal unit root process ⋮ Seasonal unit root tests and the role of initial conditions ⋮ SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION ⋮ SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS ⋮ Powerful nonparametric seasonal unit root tests ⋮ On Augmented Franses Tests for Seasonal Unit Roots ⋮ Temporal Aggregation of Seasonally Near‐Integrated Processes ⋮ Non-parametric seasonal unit root tests under periodic non-stationary volatility ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility ⋮ The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests

Cites Work

• Unnamed Item
• Seasonal integration and cointegration
• Bootstrapping the HEGY seasonal unit root tests
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Additional critical values and asymptotic representations for seasonal unit root tests
• A multivariate approach to modeling univariate seasonal time series
• Likelihood Ratio Tests for Seasonal Unit Roots
• Testing for Unit Roots in Monthly Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

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