Testing for seasonal unit roots by frequency domain regression
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Recommendations
- REGRESSION-BASED SEASONAL UNIT ROOT TESTS
- Testing for a unit root by frequency domain regression
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- Efficient tests of the seasonal unit root hypothesis
- Variance ratio tests of the seasonal unit root hypothesis
Cites work
- A simple generalized crossvalidation method of span selection for periodogram smoothing
- Additional critical values and asymptotic representations for seasonal unit root tests
- ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
- Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
- Consistent autoregressive spectral estimates
- Efficient Tests for an Autoregressive Unit Root
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
- Efficient tests of the seasonal unit root hypothesis
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 3558767 (Why is no real title available?)
- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- scientific article; zbMATH DE number 3208729 (Why is no real title available?)
- scientific article; zbMATH DE number 3332973 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Miscellanea. A simple span selector for periodogram smoothing
- Non-linear regression for multiple time-series
- On augmented HEGY tests for seasonal unit roots
- Seasonal integration and cointegration
- Seasonal unit roots in aggregate U.S. data (with discussion)
- Testing for a unit root by frequency domain regression
- Testing for Unit Roots in Seasonal Time Series
- The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
- Towards a unified asymptotic theory for autoregression
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Cited in
(14)- Testing for a unit root by frequency domain regression
- Spectral approach to parameter-free unit root testing
- Powerful nonparametric seasonal unit root tests
- Wavelet variance ratio cointegration test and wavestrapping
- Variance ratio tests of the seasonal unit root hypothesis
- Efficient tests of the seasonal unit root hypothesis
- A sequential approach to testing seasonal unit roots in high frequency data
- REGRESSION-BASED SEASONAL UNIT ROOT TESTS
- Finite sample performance of frequency- and time-domain tests for seasonal fractional integration
- Tests for seasonal unit roots in panels of cross-sectionally correlated time series
- On consistent testing for serial correlation in seasonal time series models
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- Recursive and rolling regression-based tests of the seasonal unit root hypothesis
- Testing for adequacy of seasonal adjustment in the frequency domain
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