Unit root tests for seasonal models with deterministic trends

DOI10.1016/0167-7152(94)00202-JzbMath0838.62080OpenAlexW2045925587MaRDI QIDQ1907886

Yanyan Li

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

zbMATH Keywords

Monte Carlo simulationlocal alternativesasymptotic powerLagrange multiplier testBrownian motionsempirical percentilesnearly nonstationarydeterministic seasonal trendsDickey-Fuller type test statisticsseasonable unit roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments

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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