Effect of neglected deterministic seasonality on unit root tests

DOI10.1007/S00362-006-0343-6MaRDI QIDQ2457770zbMATH OpenOpenAlexFDO

Authors Matei Demetrescu, Uwe Hassler

Publication date 23 October 2007

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-006-0343-6

zbMATH Keywords

Kwiatkowski-Phillips-Schmidt-Shin

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Unit root tests for seasonal models with deterministic trends
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Testing for unit roots in time series with nearly deterministic seasonal variation
• On the asymptotic properties of some seasonal unit root tests
• Some tests for unit roots in seasonal time series with deterministic trends

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The KPSS test with seasonal dummies
• Time Series Regression with a Unit Root

Cited in

(6)

• Recursive demeaning and deterministic seasonality
• The KPSS test with seasonal dummies
• THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
• ON THE DISTINCTION BETWEEN FRACTAL AND SEASONAL DEPENDENCIES IN TIME SERIES DATA
• Spurious deterministic seasonality
• Unit root testing

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