Recursive and rolling regression-based tests of the seasonal unit root hypothesis
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Recommendations
- REGRESSION-BASED SEASONAL UNIT ROOT TESTS
- Testing for seasonal unit roots by frequency domain regression
- Seasonal Unit Root Tests Based on Forward and Reverse Estimation
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
Cites work
- Additional critical values and asymptotic representations for seasonal unit root tests
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- scientific article; zbMATH DE number 976336 (Why is no real title available?)
- scientific article; zbMATH DE number 877218 (Why is no real title available?)
- Seasonal integration and cointegration
- Seasonal unit roots in aggregate U.S. data (with discussion)
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing for Unit Roots in Monthly Time Series
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Cited in
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