APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS

DOI10.1017/S0266466601174037MaRDI QIDQ4807263zbMATHOpenAlexFDO

Authors Seiji Nabeya

Publication date 18 May 2003

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466601174037

Mathematics Subject Classification ID

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

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Cited in

(3)

• The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
• Ratio tests under limiting normality
• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL

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