Seasonal unit root tests in long periodicity cases

DOI10.1016/J.JKSS.2010.02.006MaRDI QIDQ2511565zbMATH OpenOpenAlexWikidataFDO

Authors David A. Dickey, Ying Zhang

Publication date 6 August 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2010.02.006

zbMATH Keywords

asymptoticdifferencingnonstationarity

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Recommendations

• On Periodic Structures and Testing for Seasonal Unit Roots
• On the asymptotic properties of some seasonal unit root tests
• Determining the order of differencing in seasonal time series processes
• Some tests for unit roots in seasonal time series with deterministic trends
• Seasonal Unit Root Tests Based on Forward and Reverse Estimation

Cites work

• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• On a measure of lack of fit in time series models
• Testing for Unit Roots in Seasonal Time Series

Cited in

(1)

• Asymptotic analysis of non-periodical cointegration with high seasonals

This page was built for publication: Seasonal unit root tests in long periodicity cases

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2511565)