Unit root tests for seasonal models with deterministic trends
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Publication:1907886
DOI10.1016/0167-7152(94)00202-JzbMath0838.62080OpenAlexW2045925587MaRDI QIDQ1907886
Publication date: 6 June 1996
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(94)00202-j
Monte Carlo simulationlocal alternativesasymptotic powerLagrange multiplier testBrownian motionsempirical percentilesnearly nonstationarydeterministic seasonal trendsDickey-Fuller type test statisticsseasonable unit roots
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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Cites Work
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Some tests for unit roots in seasonal time series with deterministic trends
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Testing for a unit root in time series regression
- Towards a unified asymptotic theory for autoregression
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Testing for Unit Roots in Seasonal Time Series
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