Efficient tests for the presence of a pair of complex conjugate unit roots in real time series

DOI10.1016/j.jeconom.2004.08.019zbMath1337.62217OpenAlexW2034286278MaRDI QIDQ269393

Stéphane Gregoir

Publication date: 18 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.08.019

zbMATH Keywords

complex Ornstein-Uhlenbeck processcomplex Wiener processpoint-optimal invariant testseasonal unit root

Mathematics Subject Classification ID

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

Related Items (11)

Efficient tests of the seasonal unit root hypothesis ⋮ On cointegration for processes integrated at different frequencies ⋮ A Review of Seasonal Adjustment Diagnostics ⋮ Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending ⋮ SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS ⋮ FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES ⋮ Powerful nonparametric seasonal unit root tests ⋮ Testing for seasonal unit roots by frequency domain regression ⋮ Objective priors for causal AR(p) with partial autocorrelations ⋮ Temporal Aggregation of Seasonally Near‐Integrated Processes ⋮ The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests

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