Tests for seasonal unit roots. General to specific or specific to general?

DOI10.1016/0304-4076(94)01660-RMaRDI QIDQ1899239zbMATHOpenAlexFDO

Authors Svend Hylleberg

Publication date 8 April 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(94)01660-r

zbMATH Keywords

Monte Carlo experimentssmall sample propertiesdeterministic and stochastic seasonalityHEGY testquarterly time seriesseasonal integrationtests for seasonal unit roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Variance ratio tests of the seasonal unit root hypothesis
• On LM type tests for seasonal unit roots in quarterly data
• Testing for Unit Roots in Monthly Time Series

Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• scientific article; zbMATH DE number 4185355 (Why is no real title available?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Testing for Unit Roots in Seasonal Time Series
• Testing for a unit root in time series regression
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Time Series Regression with a Unit Root

Cited in

(13)

• COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
• TESTING FOR PERIODIC STATIONARITY
• Asymmetry and nonstationarity for a seasonal time series model
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• scientific article; zbMATH DE number 1844043 (Why is no real title available?)
• Performance of seasonal unit root tests for monthly data
• Additional critical values and asymptotic representations for seasonal unit root tests
• A sequential approach to testing seasonal unit roots in high frequency data
• The robustness of tests for seasonal differencing to structural breaks.
• Rescaled variance tests for seasonal stationarity
• Seasonality and equilibrium business cycle theories
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• Testing for unit roots in time series with nearly deterministic seasonal variation

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