On LM type tests for seasonal unit roots in quarterly data

DOI10.1111/1368-423X.t01-1-00080zbMath1009.62083MaRDI QIDQ4551779

Paulo M. M. Rodrigues

Publication date: 5 May 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00080

zbMATH Keywords

Lagrange multipliers; Monte Carlo; Ornstein-Uhlenbeck process; seasonal unit roots; LM tests

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

Related Items

Seasonal Unit Root Tests Under Structural Breaks*, On LM-type tests for seasonal unit roots in the presence of a break in trend, Variance ratio tests of the seasonal unit root hypothesis, Efficient tests of the seasonal unit root hypothesis, Alternative estimators and unit root tests for seasonal autoregressive processes, Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

Cites Work

• Seasonal integration and cointegration
• A modification of the Schmidt-Phillips unit root test
• Some tests for unit roots in seasonal time series with deterministic trends
• NEAR SEASONAL INTEGRATION
• Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
• Testing for Unit Roots in Monthly Time Series
• Performance of seasonal unit root tests for monthly data
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