Efficient tests of the seasonal unit root hypothesis

DOI10.1016/j.jeconom.2006.10.007zbMath1418.62351OpenAlexW2082179546MaRDI QIDQ289171

Paulo M. M. Rodrigues, A. M. Robert Taylor

Publication date: 27 May 2016

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

Full work available at URL: http://hdl.handle.net/1814/2809

zbMATH Keywords

asymptotic local power boundsnear-seasonal integrationpoint-optimal invariant (seasonal) unit root tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items

ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS ⋮ Testing for deterministic seasonality in mixed-frequency VARs ⋮ Rescaled variance tests for seasonal stationarity ⋮ Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending ⋮ Regulated seasonal unit root process ⋮ Seasonal unit root tests and the role of initial conditions ⋮ SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS ⋮ Powerful nonparametric seasonal unit root tests ⋮ Testing for seasonal unit roots by frequency domain regression ⋮ Periodic and seasonal (co-)integration in the state space framework ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility ⋮ The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests

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