On augmented franses tests for seasonal unit roots

DOI10.1080/03610926.2013.809121zbMATH Open1381.62243OpenAlexW2190752308MaRDI QIDQ2807639FDOQ2807639

Authors Tomás del Barrio Castro, Andreu Sansó Rossello 

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.809121

zbMATH Keywords

seasonal unit rootsHEGY testslinear processFranses tests

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

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• On augmented HEGY tests for seasonal unit roots
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• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
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Cites work

• A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
• Additional critical values and asymptotic representations for seasonal unit root tests
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Likelihood ratio tests for seasonal unit roots
• Limiting distributions of least squares estimates of unstable autoregressive processes
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• On augmented HEGY tests for seasonal unit roots
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• Seasonal integration and cointegration

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