SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS

DOI10.1017/S0266466617000135zbMath1442.62736MaRDI QIDQ4637614

Tomás del Barrio Castro, Paulo M. M. Rodrigues, A. M. Robert Taylor

Publication date: 25 April 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) Non-Markovian processes: hypothesis testing (62M07)

Related Items

On cointegration for processes integrated at different frequencies ⋮ Regulated seasonal unit root process ⋮ Temporal Aggregation of Seasonally Near‐Integrated Processes ⋮ Non-parametric seasonal unit root tests under periodic non-stationary volatility

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Seasonal integration and cointegration
• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• Efficient tests of the seasonal unit root hypothesis
• Consistent autoregressive spectral estimates
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• The Econometric Analysis of Seasonal Time Series
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• On the Theory of Testing for Unit Roots in Observed Time Series
• Testing for a unit root in time series regression
• MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Efficient Tests for an Autoregressive Unit Root
• Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
• Tests for Unit Roots and the Initial Condition
• The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests