Rescaled variance tests for seasonal stationarity

DOI10.1515/SNDE-2021-0004OpenAlexW3182114445MaRDI QIDQ6039104

Kemal Çağlar Göğebakan

Publication date: 3 May 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/77656

zbMATH Keywords

Lagrange multiplierunit rootseasonal stationarityKPSS statisticV/S statistic

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Seasonal integration and cointegration
• Variance ratio tests of the seasonal unit root hypothesis
• Measurement errors and outliers in seasonal unit root testing
• Efficient tests of the seasonal unit root hypothesis
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Asymptotics for linear processes
• Additional critical values and asymptotic representations for seasonal unit root tests
• Powerful nonparametric seasonal unit root tests
• Rescaled variance and related tests for long memory in volatility and levels
• Tests for seasonal unit roots. General to specific or specific to general?
• A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
• Using the HEGY Procedure When Not All Roots Are Present
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• Hypothesis Testing with Efficient Method of Moments Estimation
• Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes

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