Seasonal unit root tests and the role of initial conditions

DOI10.1111/J.1368-423X.2008.00258.XzbMath1153.62069OpenAlexW2020246205MaRDI QIDQ3548517

A. M. Robert Taylor, David I. Harvey, Stephen J. Leybourne

Publication date: 15 December 2008

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00258.x

zbMATH Keywords

tablesinitial conditionsasymptotic local powerHEGY seasonal unit root testsunion of rejection decision rules

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Cites Work

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• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition
• On testing for unit roots and the initial observation
• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity

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