Bootstrapping the HEGY seasonal unit root tests

DOI10.1016/j.jeconom.2003.10.029zbMath1328.62506OpenAlexW2132412650MaRDI QIDQ899519

A. M. Robert Taylor, Peter Burridge

Publication date: 29 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.10.029

zbMATH Keywords

seasonal unit rootsbootstrap testsperiodic heteroscedasticitydata-based lag selectionhigher-order serial correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (9)

Bootstrap LR tests of stationarity, common trends and cointegration ⋮ Detrending Bootstrap Unit Root Tests ⋮ Alternative estimators and unit root tests for seasonal autoregressive processes ⋮ Sample size, lag order and critical values of seasonal unit root tests ⋮ Bootstrap Unit-Root Tests: Comparison and Extensions ⋮ REGRESSION-BASED SEASONAL UNIT ROOT TESTS ⋮ Non-parametric seasonal unit root tests under periodic non-stationary volatility ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility ⋮ Nonparametric likelihood inference for general autoregressive models

Cites Work

• Seasonal integration and cointegration
• Testing the autoregressive parameter with the t statistic
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Additional critical values and asymptotic representations for seasonal unit root tests
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Bootstrap tests for unit roots in seasonal autoregressive models
• Bootstrapping unstable first-order autoregressive processes
• Likelihood Ratio Tests for Seasonal Unit Roots
• Testing for Unit Roots in Monthly Time Series
• Unit root bootstrap tests for AR (1) models
• On Periodic Structures and Testing for Seasonal Unit Roots
• Bootstrap tests: how many bootstraps?
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS
• Testing for Unit Roots in Seasonal Time Series
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• Evaluation of a three-step method for choosing the number of bootstrap repetitions
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity

This page was built for publication: Bootstrapping the HEGY seasonal unit root tests