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

DOI10.1080/03610918.2013.794292MaRDI QIDQ5259135zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Small-sample improvements in the statistical analysis of seasonally cointegrated systems
• On LM-type tests for seasonal unit roots in the presence of a break in trend
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• scientific article; zbMATH DE number 1963497
• Seasonal Unit Root Tests Under Structural Breaks*
• Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
• Testing for unit roots in time series with nearly deterministic seasonal variation
• Testing for Unit Roots in Seasonal Time Series

Cites work

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

Cited in

(2)

• scientific article; zbMATH DE number 1963497 (Why is no real title available?)
• Seasonal Unit Root Tests Under Structural Breaks*

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