Seasonal Unit Root Tests Based on Forward and Reverse Estimation

DOI10.1111/1467-9892.00315zbMATH Open1036.62084OpenAlexW3123221709MaRDI QIDQ4455660FDOQ4455660

Stephen Leybourne, A. M. Robert Taylor

Publication date: 16 March 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00315

Recommendations

• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• Efficient tests of the seasonal unit root hypothesis
• Unit root tests for seasonal models with deterministic trends
• Testing for Unit Roots in Seasonal Time Series
• SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
• Seasonal unit root tests and the role of initial conditions
• Recursive and rolling regression-based tests of the seasonal unit root hypothesis

zbMATH Keywords

Brownian motionseasonal unit root testsforward and reverse estimation

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Seasonal integration and cointegration
• Title not available (Why is that?)
• Additional critical values and asymptotic representations for seasonal unit root tests
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Near seasonal integration
• Testing for Unit Roots in Monthly Time Series

Cited In (15)

• Measurement errors and outliers in seasonal unit root testing
• Response surface models for the Leybourne unit root tests and lag order dependence
• APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS
• Seasonal unit root tests with seasonal mean shifts
• Title not available (Why is that?)
• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
• Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
• Weighed least squares tests for seasonal unit roots in periodic heteroscedastic time series
• SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
• Title not available (Why is that?)
• Sample size, lag order and critical values of seasonal unit root tests
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• Testing for Unit Roots in Seasonal Time Series
• On LM type tests for seasonal unit roots in quarterly data
• Recursive and rolling regression-based tests of the seasonal unit root hypothesis

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