Variance ratio tests of the seasonal unit root hypothesis

DOI10.1016/j.jeconom.2003.12.012zbMath1337.62227MaRDI QIDQ261881

A. M. Robert Taylor

Publication date: 24 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.12.012

zbMATH Keywords

seasonal unit root tests; weak dependence; periodic heteroscedasticity; variance ratio statistics

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing

Related Items

Variance ratio tests of the seasonal unit root hypothesis, Powerful nonparametric seasonal unit root tests, Nonparametric cointegration analysis of fractional systems with unknown integration orders, Powerful Unit Root Tests Free of Nuisance Parameters, Non-parametric testing for seasonally and periodically integrated processes, ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS, Unit root tests and dramatic shifts with infinite variance processes, A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC

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