A sequential approach to testing seasonal unit roots in high frequency data
From MaRDI portal
Publication:3592011
DOI10.1080/02664760500078912zbMath1121.62478MaRDI QIDQ3592011
Philip Hans Franses, Paulo M. M. Rodrigues
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
62-XX: Statistics
Cites Work
- Seasonal integration and cointegration
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Seasonal unit roots in aggregate U.S. data (with discussion)
- Additional critical values and asymptotic representations for seasonal unit root tests
- Testing for Unit Roots in Monthly Time Series
- Performance of seasonal unit root tests for monthly data