The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests

DOI10.1080/07474938.2013.807710zbMath1491.62094OpenAlexW2058358136MaRDI QIDQ5864351

Tomás del Barrio Castro, A. M. Robert Taylor, Denise R. Osborn

Publication date: 7 June 2022

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

Full work available at URL: http://repository.essex.ac.uk/11234/1/EDP-1228.pdf

zbMATH Keywords

HEGY testsseasonal unit rootdata-based lag selectionOLS and GLS detrending

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

Testing for deterministic seasonality in mixed-frequency VARs ⋮ On cointegration for processes integrated at different frequencies ⋮ Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending ⋮ Regulated seasonal unit root process ⋮ SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS ⋮ Powerful nonparametric seasonal unit root tests ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

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