Seasonal unit root tests and the role of initial conditions
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Publication:3548517
DOI10.1111/j.1368-423X.2008.00258.xzbMath1153.62069OpenAlexW2020246205MaRDI 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
tablesinitial conditionsasymptotic local powerHEGY seasonal unit root testsunion of rejection decision rules
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Cites Work
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- On testing for unit roots and the initial observation
- ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
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