Performance of seasonal unit root tests for monthly data

DOI10.1080/02664769921981zbMath0940.62080MaRDI QIDQ4935534

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

62P20: Applications of statistics to economics

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

65C05: Monte Carlo methods

91B84: Economic time series analysis

Related Items

ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH, On LM type tests for seasonal unit roots in quarterly data, The robustness of tests for seasonal differencing to structural breaks., On the performance of the DHF tests against nonstationary alternatives, The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach, A sequential approach to testing seasonal unit roots in high frequency data

Uses Software

• partsm

Cites Work

• Unnamed Item
• Unnamed Item
• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Testing for nonstationary parameter specifications in seasonal time series models
• Tests for seasonal unit roots. General to specific or specific to general?
• The effect of linear filters on dynamic time series with structural change
• Testing for Unit Roots in Monthly Time Series
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
• Testing for unit roots in time series with nearly deterministic seasonal variation
• Testing for Unit Roots in Seasonal Time Series