Performance of seasonal unit root tests for monthly data
DOI10.1080/02664769921981zbMATH Open0940.62080OpenAlexW2168154128MaRDI QIDQ4935534FDOQ4935534
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
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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)
Cites Work
- Title not available (Why is that?)
- Seasonal integration and cointegration
- Title not available (Why is that?)
- Testing for Unit Roots in Seasonal Time Series
- Seasonal unit roots in aggregate U.S. data (with discussion)
- Testing for Unit Roots in Monthly Time Series
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
- 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
- Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
- Testing for unit roots in time series with nearly deterministic seasonal variation
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
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