ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL

DOI10.1017/S0266466604204029zbMath1081.62068MaRDI QIDQ5719156

Paulo M. M. Rodrigues, A. M. Robert Taylor

Publication date: 17 January 2006

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) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Related Items

Efficient tests of the seasonal unit root hypothesis ⋮ Regulated seasonal unit root process ⋮ Seasonal unit root tests and the role of initial conditions ⋮ Testing for seasonal unit roots by frequency domain regression ⋮ On LM-type tests for seasonal unit roots in the presence of a break in trend ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

Cites Work

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• APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS
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