Powerful nonparametric seasonal unit root tests

DOI10.1016/J.ECONLET.2018.03.011zbMATH Open1401.62135OpenAlexW2792686363WikidataQ130076667 ScholiaQ130076667MaRDI QIDQ1787583FDOQ1787583

Authors: Burak Alparslan Eroğlu, Kemal Çağlar Göğebakan, Mirza Trokić 

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/49864

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• A combined nonparametric test for seasonal unit roots
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zbMATH Keywords

nonparametricfractional integrationseasonal unit roots

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Seasonal integration and cointegration
• Weak convergence of multivariate fractional processes
• Title not available (Why is that?)
• Variance ratio tests of the seasonal unit root hypothesis
• Efficient tests of the seasonal unit root hypothesis
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
• The performance of lag selection and detrending methods for HEGY seasonal unit root tests
• On augmented HEGY tests for seasonal unit roots
• Nonparametric cointegration analysis of fractional systems with unknown integration orders
• Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

Cited In (10)

• Periodic autoregressive models for time series with integrated seasonality
• Nonparametric tests for periodic integration
• Non-parametric testing for seasonally and periodically integrated processes
• A combined nonparametric test for seasonal unit roots
• A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
• Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
• On the performance of the variance ratio unit root tests with flexible Fourier form
• Regulated seasonal unit root process
• Non-parametric seasonal unit root tests under periodic non-stationary volatility
• Rescaled variance tests for seasonal stationarity

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