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

DOI10.1080/09720502.2011.10700732zbMATH Open1322.62083OpenAlexW2012348326MaRDI QIDQ3171925FDOQ3171925

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)

Cites Work

• Title not available (Why is that?)
• Seasonal integration and cointegration
• Measurement errors and outliers in seasonal unit root testing
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• Understanding spurious regressions in econometrics
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• On the performance of the DHF tests against nonstationary alternatives
• Using the HEGY Procedure When Not All Roots Are Present
• Performance of seasonal unit root tests for monthly data
• Fourth-order moments of augmented arch processes

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