Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

DOI10.1111/j.1467-9892.2005.00463.xzbMath1111.62083OpenAlexW2108198982MaRDI QIDQ3440756

Gabriel Pons

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00463.x

zbMATH Keywords

systematic samplingtemporal aggregationHylleberg-Engle-Ganger-Yoo test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

Related Items (3)

Estimation of fractional integration under temporal aggregation ⋮ Econometric Modelling with Mixed Frequency and Temporally Aggregated Data ⋮ Temporal Aggregation of Seasonally Near‐Integrated Processes

Cites Work

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• Seasonal integration and cointegration
• Measurement errors and outliers in seasonal unit root testing
• The invertibility of sampled and aggregated ARMA models
• Sample size, lag order and critical values of seasonal unit root tests
• Moving average filters and unit roots
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• Structural breaks and seasonal integration
• Likelihood Ratio Tests for Seasonal Unit Roots
• The Econometric Analysis of Seasonal Time Series
• On LM type tests for seasonal unit roots in quarterly data
• Seasonal Unit Root Tests Under Structural Breaks*
• The robustness of tests for seasonal differencing to structural breaks.

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