On LM type tests for seasonal unit roots in quarterly data

DOI10.1111/1368-423X.t01-1-00080zbMath1009.62083OpenAlexW3121308424MaRDI QIDQ4551779

Paulo M. M. Rodrigues

Publication date: 5 May 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00080

zbMATH Keywords

Lagrange multipliersMonte CarloOrnstein-Uhlenbeck processseasonal unit rootsLM tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (6)

Efficient tests of the seasonal unit root hypothesis ⋮ Seasonal Unit Root Tests Under Structural Breaks* ⋮ Alternative estimators and unit root tests for seasonal autoregressive processes ⋮ On LM-type tests for seasonal unit roots in the presence of a break in trend ⋮ Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information ⋮ Variance ratio tests of the seasonal unit root hypothesis

Cites Work

• Seasonal integration and cointegration
• A modification of the Schmidt-Phillips unit root test
• Some tests for unit roots in seasonal time series with deterministic trends
• NEAR SEASONAL INTEGRATION
• Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
• Testing for Unit Roots in Monthly Time Series
• Performance of seasonal unit root tests for monthly data
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