Tests for seasonal unit roots. General to specific or specific to general?
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Publication:1899239
DOI10.1016/0304-4076(94)01660-RzbMath0834.62106OpenAlexW2012565388MaRDI QIDQ1899239
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
small sample propertiesMonte Carlo experimentsdeterministic and stochastic seasonalityHEGY testquarterly time seriesseasonal integrationtests for seasonal unit roots
Related Items
Asymmetry and nonstationarity for a seasonal time series model, Rescaled variance tests for seasonal stationarity, Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots, Seasonality and equilibrium business cycle theories, Testing for unit roots in time series with nearly deterministic seasonal variation, The robustness of tests for seasonal differencing to structural breaks., Performance of seasonal unit root tests for monthly data, COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY, ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH, TESTING FOR PERIODIC STATIONARITY, Additional critical values and asymptotic representations for seasonal unit root tests
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