Seasonal Unit Root Tests Based on Forward and Reverse Estimation

DOI10.1111/1467-9892.00315zbMath1036.62084OpenAlexW3123221709MaRDI QIDQ4455660

Stephen J. Leybourne, A. M. Robert Taylor

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00315

zbMATH Keywords

Brownian motionseasonal unit root testsforward and reverse estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items

Response surface models for the Leybourne unit root tests and lag order dependence

Cites Work

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• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Additional critical values and asymptotic representations for seasonal unit root tests
• NEAR SEASONAL INTEGRATION
• Testing for Unit Roots in Monthly Time Series