Some tests for unit roots in seasonal time series with deterministic trends

time series deterministic trends Lagrange multiplier principle empirical percentiles functionals of stochastic integrals of standard Brownian bridges seasonal periods testing seasonal unit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

Unit root tests for seasonal models with deterministic trends
Likelihood ratio tests for seasonal unit roots
Some Lagrange multiplier tests for seasonal differencing
Testing for unit roots in time series with nearly deterministic seasonal variation
Testing for Unit Roots in Monthly Time Series

Cites work

scientific article; zbMATH DE number 3421754 (Why is no real title available?)
Corrigendum to: Testing the autoregressive parameter with the t statistic
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Limiting distributions of least squares estimates of unstable autoregressive processes
On the Theory of Testing for Unit Roots in Observed Time Series
Seasonal integration and cointegration
Testing for Unit Roots in Seasonal Time Series
Testing for a unit root in the presence of moving average errors
Testing for a unit root in time series regression
Testing for unit roots in autoregressive-moving average models of unknown order
Time Series Regression with a Unit Root

Cited in

(32)

On time series with randomized unit root and randomized seasonal unit root
Seasonal unit root tests in long periodicity cases
Asymptotic laws of successive least squares estimates for seasonal arima models and application
Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
Efficient tests of the seasonal unit root hypothesis
Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
scientific article; zbMATH DE number 1844043 (Why is no real title available?)
Normalizations for periodogram-based unit root tests.
Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
Parameter inference for time series with regular and seasonal unit roots
Numerical distribution functions for seasonal unit root tests
Unit root tests for seasonal models with deterministic trends
On augmented franses tests for seasonal unit roots
Bootstrap tests for unit roots in seasonal autoregressive models
A sign test for unit roots in a seasonal MTAR model
A unified approach to testing for stationarity of unit roots
Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
Detecting seasonal unit roots in a structural time series model
Likelihood ratio tests for seasonal unit roots
Three tests for the existence of cycles in time series
Effect of neglected deterministic seasonality on unit root tests
Sample size, lag order and critical values of seasonal unit root tests
On the asymptotic properties of some seasonal unit root tests
Testing for Unit Roots in Seasonal Time Series
Testing for Unit Roots in Monthly Time Series
Recursive demeaning and deterministic seasonality
On LM-type tests for seasonal unit roots in the presence of a break in trend
ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
On LM type tests for seasonal unit roots in quarterly data
Determining the order of differencing in seasonal time series processes

This page was built for publication: Some tests for unit roots in seasonal time series with deterministic trends

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1209458)