ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS

DOI10.1017/S0266466603192043zbMath1441.62885MaRDI QIDQ4561955

A. M. Robert Taylor

Publication date: 14 December 2018

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites Work

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• Performance of seasonal unit root tests for monthly data
• Testing for Unit Roots in Seasonal Time Series
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity

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