Recursive and rolling regression-based tests of the seasonal unit root hypothesis

DOI10.1016/S0304-4076(01)00083-5zbMath0988.62055OpenAlexW2012479405MaRDI QIDQ5959568

Richard J. Smith, A. M. Robert Taylor

Publication date: 27 June 2002

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00083-5

zbMATH Keywords

maximumminimumseasonal unit root testsauxiliary regressionsdifference

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

Recursive estimation in econometrics

Uses Software

• partsm

Cites Work

• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Additional critical values and asymptotic representations for seasonal unit root tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for Unit Roots in Monthly Time Series
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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