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

DOI10.1017/S0266466600162036zbMATH Open0957.62010OpenAlexW1965717667MaRDI QIDQ4512679FDOQ4512679

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

Recommendations

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

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)

Cited In (12)

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

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