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

DOI10.1016/0304-4076(94)01660-RzbMATH Open0834.62106OpenAlexW2012565388MaRDI QIDQ1899239FDOQ1899239

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

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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)

Cites Work

• Seasonal integration and cointegration
• Title not available (Why is that?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Title not available (Why is that?)
• Testing for Unit Roots in Seasonal Time Series
• Title not available (Why is that?)
• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root
• 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?
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal unit roots in aggregate U.S. data (with discussion)

Cited In (13)

• Seasonality and equilibrium business cycle theories
• Title not available (Why is that?)
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• Asymmetry and nonstationarity for a seasonal time series model
• Additional critical values and asymptotic representations for seasonal unit root tests
• TESTING FOR PERIODIC STATIONARITY
• The robustness of tests for seasonal differencing to structural breaks.
• Testing for unit roots in time series with nearly deterministic seasonal variation
• A sequential approach to testing seasonal unit roots in high frequency data
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• Performance of seasonal unit root tests for monthly data
• COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
• Rescaled variance tests for seasonal stationarity

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