Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
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Publication:1588306
DOI10.1016/S0304-4076(00)00032-4zbMath1011.62097OpenAlexW2097430503WikidataQ127316201 ScholiaQ127316201MaRDI QIDQ1588306
Publication date: 9 June 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00032-4
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
Related Items (10)
An instrumental variable approach for panel unit root tests under cross-sectional dependence ⋮ Asymmetry and nonstationarity for a seasonal time series model ⋮ Unit root tests for cross-sectionally dependent seasonal panels ⋮ Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors ⋮ Tests for seasonal unit roots in panels of cross-sectionally correlated time series ⋮ Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment ⋮ Recursive demeaning and deterministic seasonality ⋮ Recursive mean adjustment and tests for nonstationarities ⋮ An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models. ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances
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