On LM type tests for seasonal unit roots in quarterly data
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Publication:4551779
DOI10.1111/1368-423X.t01-1-00080zbMath1009.62083MaRDI QIDQ4551779
Publication date: 5 May 2003
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00080
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
Related Items
Seasonal Unit Root Tests Under Structural Breaks*, On LM-type tests for seasonal unit roots in the presence of a break in trend, Variance ratio tests of the seasonal unit root hypothesis, Efficient tests of the seasonal unit root hypothesis, Alternative estimators and unit root tests for seasonal autoregressive processes, Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information
Cites Work
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- Seasonal integration and cointegration
- A modification of the Schmidt-Phillips unit root test
- Some tests for unit roots in seasonal time series with deterministic trends
- NEAR SEASONAL INTEGRATION
- Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
- Testing for Unit Roots in Monthly Time Series
- Performance of seasonal unit root tests for monthly data