TESTING FOR PERIODIC STATIONARITY

DOI10.1081/ETC-120014351zbMath1033.62082MaRDI QIDQ4443974

Eiji Kurozumi

Publication date: 2002

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

zbMATH Keywords

tablesLagrange multipliertime seriesLM testPAR modelperiodic integrationperiodic stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

Related Items

Exact maximum likelihood estimation for non-stationary periodic time series models

Uses Software

• partsm

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing for periodic integration
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• On periodic and multiple autoregressions
• A multivariate approach to modeling univariate seasonal time series
• Multiple unit roots in periodic autoregression
• Tests for seasonal unit roots. General to specific or specific to general?
• The implications of periodically varying coefficients for seasonal time- series processes
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Some results in periodic autoregression
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• On trends and constants in periodic autoregressions
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models