Seasonal Unit Root Tests Based on Forward and Reverse Estimation

DOI10.1111/1467-9892.00315MaRDI QIDQ4455660zbMATH OpenOpenAlexFDO

Authors Stephen Leybourne, A. M. Robert Taylor

Publication date 16 March 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00315

zbMATH Keywords

Brownian motionforward and reverse estimationseasonal unit root tests

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• Efficient tests of the seasonal unit root hypothesis
• Unit root tests for seasonal models with deterministic trends
• Testing for Unit Roots in Seasonal Time Series
• SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
• Seasonal unit root tests and the role of initial conditions
• Recursive and rolling regression-based tests of the seasonal unit root hypothesis

Cites work

• Additional critical values and asymptotic representations for seasonal unit root tests
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Near seasonal integration
• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Testing for Unit Roots in Monthly Time Series

Cited in

(20)

• Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
• Seasonal unit root tests with seasonal mean shifts
• Numerical distribution functions for seasonal unit root tests
• Alternative estimators and unit root tests for seasonal autoregressive processes
• Seasonal unit root tests in long periodicity cases
• Response surface models for the Leybourne unit root tests and lag order dependence
• Variance ratio tests of the seasonal unit root hypothesis
• Measurement errors and outliers in seasonal unit root testing
• scientific article; zbMATH DE number 5994862 (Why is no real title available?)
• Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information
• Weighed least squares tests for seasonal unit roots in periodic heteroscedastic time series
• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• scientific article; zbMATH DE number 1978890 (Why is no real title available?)
• On LM type tests for seasonal unit roots in quarterly data
• SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
• APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS
• Testing for Unit Roots in Seasonal Time Series
• Recursive and rolling regression-based tests of the seasonal unit root hypothesis
• Sample size, lag order and critical values of seasonal unit root tests

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