Sample size, lag order and critical values of seasonal unit root tests

DOI10.1016/j.csda.2005.04.011zbMath1445.62226MaRDI QIDQ959358

Dick van Dijk, David I. Harvey

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/Sample_size_lag_order_and_critical_values_of_seasonal_unit_root_tests/9492908

zbMATH Keywords

Monte Carlo; response surface; HEGY tests; approximate \(p\)-values; asymptotic quantiles

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62K20: Response surface designs

Related Items

Response surface estimates of the LM unit root tests, Numerical distribution functions for seasonal unit root tests, Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending, Numerical distribution functions for seasonal stability tests, Response surface models for the Leybourne unit root tests and lag order dependence, Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

Cites Work

• Seasonal integration and cointegration
• Bootstrapping the HEGY seasonal unit root tests
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks
• Additional critical values and asymptotic representations for seasonal unit root tests
• The Econometric Analysis of Seasonal Time Series
• Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics
• Distributions of error correction tests for cointegration
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag