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

DOI10.1017/S0266466601174037zbMATH Open1109.62344OpenAlexW2145204057MaRDI QIDQ4807263FDOQ4807263

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

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Mathematics Subject Classification ID

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

Cited In (3)

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

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