Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes

DOI10.1111/1467-9892.00324zbMath1036.62091OpenAlexW3091208196MaRDI QIDQ4455674

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/10.1111/1467-9892.00324

zbMATH Keywords

limit distributionlocally mean most powerful testweakly dependent error process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Rescaled variance tests for seasonal stationarity, Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots, Karhunen-Loève expansions for the detrended Brownian motion, Effect of neglected deterministic seasonality on unit root tests, Variance ratio tests of the seasonal unit root hypothesis

Cites Work

• Seasonal integration and cointegration
• 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?
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Additional critical values and asymptotic representations for seasonal unit root tests
• Testing for Unit Roots in Monthly Time Series
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
• Generalizations of the KPSS‐test for stationarity