Effect of neglected deterministic seasonality on unit root tests
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Recommendations
- Unit root tests for seasonal models with deterministic trends
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- Testing for unit roots in time series with nearly deterministic seasonal variation
- On the asymptotic properties of some seasonal unit root tests
- Some tests for unit roots in seasonal time series with deterministic trends
Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
- Testing for a unit root in time series regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- 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?
- The KPSS test with seasonal dummies
- Time Series Regression with a Unit Root
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