Testing for unit roots in time series with nearly deterministic seasonal variation

DOI10.1080/07474939708800397zbMath0914.62067OpenAlexW1972040192MaRDI QIDQ4373277

Zacharias Psaradakis

Publication date: 23 June 1999

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

Full work available at URL: https://doi.org/10.1080/07474939708800397

zbMATH Keywords

seasonalityunit rootsgeneralized least squaresmoving averageprewhiteningMonte Carlo experiments

Mathematics Subject Classification ID

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

Related Items (1)

Performance of seasonal unit root tests for monthly data

Cites Work

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• Computer Generation of Normal Random Variables
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Testing for Unit Roots in Seasonal Time Series

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