Performance of seasonal unit root tests for monthly data
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Publication:4935534
DOI10.1080/02664769921981zbMath0940.62080OpenAlexW2168154128MaRDI QIDQ4935534
Denise R. Osborn, Paulo M. M. Rodrigues
Publication date: 24 July 2000
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664769921981
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)
Related Items
The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach ⋮ On LM type tests for seasonal unit roots in quarterly data ⋮ ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS ⋮ On the performance of the DHF tests against nonstationary alternatives ⋮ The robustness of tests for seasonal differencing to structural breaks. ⋮ A sequential approach to testing seasonal unit roots in high frequency data ⋮ ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
Uses Software
Cites Work
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