On Periodic Structures and Testing for Seasonal Unit Roots
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Publication:4366098
DOI10.2307/2291580zbMath0881.62094OpenAlexW4231019711MaRDI QIDQ4366098
Eric Ghysels, Alastair R. Hall, Hahn S. Lee
Publication date: 22 February 1998
Full work available at URL: https://cirano.qc.ca/files/publications/95s-21.pdf
Related Items (11)
Asymmetry and nonstationarity for a seasonal time series model ⋮ Periodic autoregressive models for time series with integrated seasonality ⋮ Multiple unit roots in periodic autoregression ⋮ Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors ⋮ Bootstrapping the HEGY seasonal unit root tests ⋮ On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity ⋮ Time-Varying Periodicity in Intraday Volatility ⋮ ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH ⋮ Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments ⋮ Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE ⋮ Explosive strong periodic autoregression with multiplicity one
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