Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE

DOI10.1016/S0167-7152(00)00106-1zbMath1103.62340MaRDI QIDQ1591158

Man-Suk Oh, Dong Wan Shin

Publication date: 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Fourier transform; GLSE; Seasonal unit roots; Semiparametric tests

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS, Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors, Estimation of spectral density for seasonal time series models

Cites Work

• Unnamed Item
• Seasonal integration and cointegration
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotics for linear processes
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Matrix Analysis
• Testing for a unit root in time series regression
• On Periodic Structures and Testing for Seasonal Unit Roots
• Time Series Regression with a Unit Root
• Testing for Unit Roots in Seasonal Time Series