Sample size, lag order and critical values of seasonal unit root tests

DOI10.1016/j.csda.2005.04.011zbMath1445.62226OpenAlexW2058118167MaRDI QIDQ959358

Dick van Dijk, David I. Harvey

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/Sample_size_lag_order_and_critical_values_of_seasonal_unit_root_tests/9492908

zbMATH Keywords

Monte Carloresponse surfaceHEGY testsapproximate \(p\)-valuesasymptotic quantiles

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Response surface designs (62K20)

Related Items

Numerical distribution functions for seasonal unit root tests ⋮ Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending ⋮ Numerical distribution functions for seasonal stability tests ⋮ Response surface models for the Leybourne unit root tests and lag order dependence ⋮ Response surface estimates of the LM unit root tests ⋮ Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

Cites Work

• Seasonal integration and cointegration
• Bootstrapping the HEGY seasonal unit root tests
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks
• Additional critical values and asymptotic representations for seasonal unit root tests
• The Econometric Analysis of Seasonal Time Series
• Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics
• Distributions of error correction tests for cointegration
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag