TESTING FOR PERIODIC STATIONARITY

DOI10.1081/ETC-120014351MaRDI QIDQ4443974zbMATH OpenFDO

Authors Eiji Kurozumi

Publication date 2002

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/ETC-120014351

zbMATH Keywords

Lagrange multiplierLM testPAR modelperiodic integrationperiodic stationaritytablestime series

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Testing time-series stationarity against an alternative whose mean is periodic
• Nonparametric tests for periodic integration
• On Periodic Structures and Testing for Seasonal Unit Roots
• Testing for periodic integration
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

Cites work

• A multivariate approach to modeling univariate seasonal time series
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• scientific article; zbMATH DE number 957960 (Why is no real title available?)
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Multiple unit roots in periodic autoregression
• On periodic and multiple autoregressions
• On trends and constants in periodic autoregressions
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Some results in periodic autoregression
• Testing for periodic integration
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests for seasonal unit roots. General to specific or specific to general?
• The implications of periodically varying coefficients for seasonal time- series processes
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

Cited in

(6)

• Some results on testing for stationarity using data detrended in differences
• Exact maximum likelihood estimation for non-stationary periodic time series models
• Testing time-series stationarity against an alternative whose mean is periodic
• Non-parametric testing for seasonally and periodically integrated processes
• A highly specific test for periodicity
• Nonparametric tests for periodic integration

Describes a project that uses

Uses Software

• partsm

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