Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

DOI10.1111/J.1467-9892.2005.00463.XMaRDI QIDQ3440756zbMATH OpenOpenAlexFDO

Authors 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

Hylleberg-Engle-Ganger-Yoo testsystematic samplingtemporal aggregation

Mathematics Subject Classification ID

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

Recommendations

• Testing for Unit Roots in Monthly Time Series
• Seasonal Unit Root Tests Based on Forward and Reverse Estimation
• Performance of seasonal unit root tests for monthly data
• Likelihood ratio tests for seasonal unit roots
• On LM type tests for seasonal unit roots in quarterly data

Cites work

• scientific article; zbMATH DE number 3454717 (Why is no real title available?)
• Likelihood ratio tests for seasonal unit roots
• Measurement errors and outliers in seasonal unit root testing
• Moving average filters and unit roots
• On LM type tests for seasonal unit roots in quarterly data
• Sample size, lag order and critical values of seasonal unit root tests
• Seasonal integration and cointegration
• Seasonal Unit Root Tests Under Structural Breaks*
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Structural breaks and seasonal integration
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• The invertibility of sampled and aggregated ARMA models
• The robustness of tests for seasonal differencing to structural breaks.

Cited in

(4)

• Performance of seasonal unit root tests for monthly data
• Econometric Modelling with Mixed Frequency and Temporally Aggregated Data
• Temporal aggregation of seasonally near-integrated processes
• Estimation of fractional integration under temporal aggregation

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