On LM-type tests for seasonal unit roots in the presence of a break in trend

DOI10.1111/j.1467-9892.2010.00687.xzbMath1290.62063OpenAlexW1948997920WikidataQ61105007 ScholiaQ61105007MaRDI QIDQ4979096

Paulo M. M. Rodrigues, Luis C. Nunes

Publication date: 16 June 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp200920.pdf

zbMATH Keywords

structural changeseasonal unit rootstrend breaksLM-type unit root tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Seasonal integration and cointegration
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Limiting distributions of least squares estimates of unstable autoregressive processes
• A modification of the Schmidt-Phillips unit root test
• Some tests for unit roots in seasonal time series with deterministic trends
• Additional critical values and asymptotic representations for seasonal unit root tests
• Further evidence on breaking trend functions in macroeconomic variables
• Seasonal unit root tests with seasonal mean shifts
• The Econometric Analysis of Seasonal Time Series
• The Order of Differencing in ARIMA Models
• Testing for a unit root in time series regression
• Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
• Testing for Unit Roots in Monthly Time Series
• Some Lagrange multiplier tests for seasonal differencing
• Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• On LM type tests for seasonal unit roots in quarterly data
• Regression Theory for Near-Integrated Time Series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Seasonal Unit Root Tests Under Structural Breaks*
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL

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