Performance of seasonal unit root tests for monthly data

DOI10.1080/02664769921981MaRDI QIDQ4935534zbMATH OpenOpenAlexFDO

Authors Paulo M. M. Rodrigues, Denise R. Osborn

Publication date 24 July 2000

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664769921981

zbMATH Keywords

production indicators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Recommendations

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Cites work

• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
• Testing for Unit Roots in Monthly Time Series
• Testing for Unit Roots in Seasonal Time Series
• Testing for nonstationary parameter specifications in seasonal time series models
• Testing for unit roots in time series with nearly deterministic seasonal variation
• Tests for seasonal unit roots. General to specific or specific to general?
• The effect of linear filters on dynamic time series with structural change

Cited in

(11)

• Unit root test combination via random forests
• On the performance of the DHF tests against nonstationary alternatives
• The robustness of tests for seasonal differencing to structural breaks.
• The performance of lag selection and detrending methods for HEGY seasonal unit root tests
• The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach
• On the asymptotic properties of some seasonal unit root tests
• Testing for Unit Roots in Monthly Time Series
• A sequential approach to testing seasonal unit roots in high frequency data
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• On LM type tests for seasonal unit roots in quarterly data
• HEGY test with mean shifts and its empirical investigation

Describes a project that uses

Uses Software

• partsm

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