Seasonal unit root tests and the role of initial conditions

DOI10.1111/j.1368-423X.2008.00258.xzbMath1153.62069MaRDI QIDQ3548517

A. M. Robert Taylor, David I. Harvey, Stephen J. Leybourne

Publication date: 15 December 2008

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00258.x

zbMATH Keywords

tables; initial conditions; asymptotic local power; HEGY seasonal unit root tests; union of rejection decision rules

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F05: Asymptotic properties of parametric tests

Cites Work

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