ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS

DOI10.1017/S0266466600162036MaRDI QIDQ4512679zbMATHOpenAlexFDO

Authors Seiji Nabeya

Publication date 29 March 2001

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466600162036

zbMATH Keywords

ordinary least squares estimatorlinear trendinterceptseasonal autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Recommendations

• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
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• Unit root tests for seasonal models with deterministic trends
• The limiting distribution of the least‐squares estimator in nearly integrated seasonal models

Cited in

(12)

• ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE
• The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
• Computing limiting local powers and power envelopes of panel MA unit root tests and stationarity tests
• Near seasonal integration
• Powerful unit root tests free of nuisance parameters
• Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
• On the asymptotic properties of some seasonal unit root tests
• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
• Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
• Asymptotic laws of successive least squares estimates for seasonal arima models and application
• Unit root seasonal autoregressive models with a polynomial trend of higher degree
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

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