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

DOI10.1080/02664760500078912MaRDI QIDQ3592011zbMATHOpenAlexFDO

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

zbMATH Keywords

seasonal unit rootstemporal aggregation

Mathematics Subject Classification ID

Statistics (62-XX)

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?

Cites work

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

This page was built for publication: A sequential approach to testing seasonal unit roots in high frequency data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3592011)