scientific article; zbMATH DE number 2073356

MaRDI QIDQ4468684zbMATH OpenFDO

Authors Tomás del Barrio Castro, Ana del Sur Mora, Jordi Suriñach Caralt

Publication date 10 June 2004

Full work available at URL https://eudml.org/doc/40325

zbMATH Keywords

extended Dickey-Fuller testKwiatkowski-Phillips-Schmidt- und Shin testPhillips-Perron testsignal extractionstationarity testsunit roots

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• The effects of working with seasonally adjusted data when testing for unit root.
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• Testing for Unit Roots in Monthly Time Series
• Testing for unit roots in time series with nearly deterministic seasonal variation
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

Cited in

(5)

• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• Signal extraction. Efficient estimation, `unit root'-tests and early detection of turning points.
• The effect of linear filters on dynamic time series with structural change
• Signal extraction revision variances as a goodness-of-fit measure
• The effects of working with seasonally adjusted data when testing for unit root.

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