Testing for Unit Roots in Seasonal Time Series

time series regression-type estimators least squares estimator Monte Carlo integration nonstationary higher order models seasonal autoregressive models studentized regression statistic Tables of percentiles testing for seasonal unit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (70)

Efficient tests for the presence of a pair of complex conjugate unit roots in real time series ⋮ Local asymptotic distribution related to the AR(1) model with dependent errors ⋮ Estimation of partially nonstationary vector autoregressive models with seasonal behavior ⋮ Regression quantiles for unstable autoregressive models ⋮ Asymmetry and nonstationarity for a seasonal time series model ⋮ Numerical distribution functions for seasonal unit root tests ⋮ Changes in seasonal patterns. Are they cyclical? ⋮ Unit roots tests and SARIMA models ⋮ Tests for seasonal unit roots. General to specific or specific to general? ⋮ Deterministic seasonality versus seasonal fractional integration ⋮ Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire ⋮ Unit root tests for seasonal models with deterministic trends ⋮ ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS ⋮ Exact tests in single equation autoregressive distributed lag models ⋮ Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate ⋮ Two limit theorems on ARIMA models ⋮ Automatic SARIMA modeling and forecast accuracy ⋮ TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS ⋮ F-test for seasonal differencing with a break-point ⋮ The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions ⋮ The limiting distribution of the least‐squares estimator in nearly integrated seasonal models ⋮ Parameter inference for time series with regular and seasonal unit roots ⋮ Unit root tests for cross-sectionally dependent seasonal panels ⋮ ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS ⋮ Some exact results on the sample autocovariances of a seasonal ARIMA model ⋮ Using the HEGY Procedure When Not All Roots Are Present ⋮ Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors ⋮ Bootstrapping the HEGY seasonal unit root tests ⋮ Disentangling the source of non-stationarity in a panel of seasonal data ⋮ Alternative estimators and unit root tests for seasonal autoregressive processes ⋮ UNIT ROOTS IN PERIODIC AUTOREGRESSIONS ⋮ Changes in seasonal patterns ⋮ Tests for seasonal unit roots in panels of cross-sectionally correlated time series ⋮ Testing for unit roots in time series with nearly deterministic seasonal variation ⋮ On time series with randomized unit root and randomized seasonal unit root ⋮ ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL ⋮ Recursive estimation in econometrics ⋮ Seasonal cointegration. The Japanese consumption function (with discussion) ⋮ Seasonal unit roots in aggregate U.S. data (with discussion) ⋮ Maximum likelihood inference on cointegration and seasonal cointegration ⋮ Some tests for unit roots in seasonal time series with deterministic trends ⋮ On the performance of the DHF tests against nonstationary alternatives ⋮ The robustness of tests for seasonal differencing to structural breaks. ⋮ The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis ⋮ Model identification of ARIMA family using genetic algorithms ⋮ FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES ⋮ On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity ⋮ Performance of seasonal unit root tests for monthly data ⋮ A new instrumental variable estimation for diffusion processes ⋮ Diagnosing seasonal shifts in time series using state space models ⋮ Recursive demeaning and deterministic seasonality ⋮ Seasonal integration and cointegration ⋮ Seasonal long memory in the aggregate output ⋮ Seasonal unit root tests in long periodicity cases ⋮ Testing for seasonal unit roots by frequency domain regression ⋮ SEASONAL INTEGRATION FOR DAILY DATA ⋮ Higher-order sample autocorrelations and the unit root hypothesis ⋮ ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH ⋮ Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors ⋮ Deterministic versus stochastic seasonal fractional integration and structural breaks ⋮ An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models. ⋮ TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES ⋮ A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE ⋮ On the nearly nonstationary seasonal time series ⋮ Additional critical values and asymptotic representations for seasonal unit root tests ⋮ Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments ⋮ Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE ⋮ Bootstrap tests for unit roots in seasonal autoregressive models ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.

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