Some tests for unit roots in seasonal time series with deterministic trends
DOI10.1016/0167-7152(93)90151-8zbMATH Open0764.62070OpenAlexW1967082072MaRDI QIDQ1209458FDOQ1209458
Authors: Sung K. Ahn, Sinsup Cho 
Publication date: 16 May 1993
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(93)90151-8
Recommendations
time seriesdeterministic trendsLagrange multiplier principleempirical percentilesfunctionals of stochastic integrals of standard Brownian bridgesseasonal periodstesting seasonal unit roots
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Seasonal integration and cointegration
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Testing for Unit Roots in Seasonal Time Series
- Testing for a unit root in time series regression
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Time Series Regression with a Unit Root
- Title not available (Why is that?)
- Testing for unit roots in autoregressive-moving average models of unknown order
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- On the Theory of Testing for Unit Roots in Observed Time Series
- Corrigendum to: Testing the autoregressive parameter with the t statistic
- Testing for a unit root in the presence of moving average errors
Cited In (32)
- On time series with randomized unit root and randomized seasonal unit root
- Seasonal unit root tests in long periodicity cases
- Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
- Asymptotic laws of successive least squares estimates for seasonal arima models and application
- Efficient tests of the seasonal unit root hypothesis
- Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
- Title not available (Why is that?)
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
- 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
- Detecting seasonal unit roots in a structural time series model
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- 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
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