On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity

DOI10.1016/S0304-4076(01)00060-4zbMath0978.62074OpenAlexW2054856793MaRDI QIDQ5944502

Peter Burridge, A. M. Robert Taylor

Publication date: 5 February 2002

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00060-4

zbMATH Keywords

Brownian motionAR processesperiodic heteroscedasicityseasonal unit root tests

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) Hypothesis testing in multivariate analysis (62H15)

Related Items (12)

Unit Root Tests under Time-Varying Variances ⋮ ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS ⋮ Cointegration, variance shifts and the limiting distribution of the OLS estimator ⋮ Bootstrapping the HEGY seasonal unit root tests ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ Seasonal unit root tests and the role of initial conditions ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models ⋮ Non-parametric seasonal unit root tests under periodic non-stationary volatility ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility ⋮ Inference in Autoregression under Heteroskedasticity ⋮ Variance ratio tests of the seasonal unit root hypothesis

Uses Software

• partsm

Cites Work

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• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
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• Multiple Time Series Regression with Integrated Processes
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• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• On Periodic Structures and Testing for Seasonal Unit Roots
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Testing for Unit Roots in Seasonal Time Series

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