Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series

DOI10.1080/03610918.2013.794292zbMATH Open1315.62071OpenAlexW2127313554MaRDI QIDQ5259135FDOQ5259135

Mauro Costantini, Stephan Popp, Joakim Westerlund, Paresh Kumar Narayan

Publication date: 24 June 2015

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.794292

zbMATH Keywords

linear time trendseasonal unit root tests' structural breaks

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Seasonal integration and cointegration
• Seasonal unit root tests with seasonal mean shifts
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Modified seasonal unit root test with seasonal level shifts at unknown time
• THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS

Cited In (1)

• Title not available (Why is that?)

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