A sequential approach to testing seasonal unit roots in high frequency data

DOI10.1080/02664760500078912zbMATH Open1121.62478OpenAlexW2168378002MaRDI QIDQ3592011FDOQ3592011

Authors: Paulo M. M. Rodrigues, Philip Hans Franses 

Publication date: 11 September 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/1714

Recommendations

• Testing for seasonal unit roots by frequency domain regression
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Efficient tests of the seasonal unit root hypothesis
• Testing for Unit Roots in Monthly Time Series
• Tests for seasonal unit roots. General to specific or specific to general?

zbMATH Keywords

seasonal unit rootstemporal aggregation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Seasonal integration and cointegration
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Additional critical values and asymptotic representations for seasonal unit root tests
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Testing for Unit Roots in Monthly Time Series
• Performance of seasonal unit root tests for monthly data

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