TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES

DOI10.1111/1467-9892.00042zbMath0918.62066OpenAlexW2043789727MaRDI QIDQ4221793

Robert M. Kunst

Publication date: 7 July 1999

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00042

zbMATH Keywords

seasonalitytime seriesautoregressive processesunit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

The robustness of tests for seasonal differencing to structural breaks. ⋮ The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis ⋮ Performance of seasonal unit root tests for monthly data ⋮ ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH ⋮ Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ Measurement errors and outliers in seasonal unit root testing

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