Numerical distribution functions for seasonal stability tests

DOI10.1016/J.SPL.2013.12.002MaRDI QIDQ2452775zbMATH OpenOpenAlexFDO

Authors M. Paz Moral, Ignacio Diaz-Emparanza

Publication date 5 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10810/10577

zbMATH Keywords

seasonalitysurface response analysisunit roots

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

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• Testing for Unit Roots in Monthly Time Series

Cites work

• A unified approach to testing for stationarity of unit roots
• Sample size, lag order and critical values of seasonal unit root tests
• Seasonal integration and cointegration
• Testing for the Constancy of Parameters Over Time

Cited in

(3)

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• Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending
• Another numerical method of finding critical values for the Andrews stability test

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