The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach

DOI10.1080/09720502.2011.10700732MaRDI QIDQ3171925zbMATH OpenOpenAlexFDO

Authors Ghassen El Montasser

Publication date 5 October 2011

Published in Journal of Interdisciplinary Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/09720502.2011.10700732

zbMATH Keywords

Monte Carlo simulationBrownian motionFisher testseasonal integrationnonstationary alternatives

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Recommendations

• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
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• Efficient tests of the seasonal unit root hypothesis
• A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
• Non-parametric seasonal unit root tests under periodic non-stationary volatility
• Finite sample performance of frequency- and time-domain tests for seasonal fractional integration

Cites work

• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• Fourth-order moments of augmented arch processes
• Measurement errors and outliers in seasonal unit root testing
• On the performance of the DHF tests against nonstationary alternatives
• Performance of seasonal unit root tests for monthly data
• Seasonal integration and cointegration
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• Understanding spurious regressions in econometrics
• Using the HEGY Procedure When Not All Roots Are Present

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