Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

DOI10.2202/1941-1928.1096zbMATH Open1266.91070OpenAlexW3122170099MaRDI QIDQ4928533FDOQ4928533

Authors: Michael Jansson, Morten Ørregaard Nielsen 

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/273720/files/qed_wp_1224.pdf

zbMATH Keywords

likelihood ratio testseasonal unit root hypothesis

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cited In (3)

• On bootstrap implementation of likelihood ratio test for a unit root
• Powerful nonparametric seasonal unit root tests
• SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS

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