TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES

DOI10.1017/S0266466608080420MaRDI QIDQ3632411zbMATH OpenOpenAlexFDO

Authors Tomás del Barrio Castro, Denise R. Osborn

Publication date 11 June 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466608080420

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• On augmented HEGY tests for seasonal unit roots
• Seasonal Unit Root Tests Based on Forward and Reverse Estimation
• On the asymptotic properties of some seasonal unit root tests
• On Periodic Structures and Testing for Seasonal Unit Roots
• On LM type tests for seasonal unit roots in quarterly data

Cites work

• A multivariate approach to modeling univariate seasonal time series
• Additional critical values and asymptotic representations for seasonal unit root tests
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• Asymptotic Properties of Residual Based Tests for Cointegration
• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Near seasonal integration
• On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
• Seasonal integration and cointegration
• Seasonally and approximation errors in rational expectations models
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for Unit Roots in Seasonal Time Series
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• The implications of periodically varying coefficients for seasonal time- series processes
• THE SUM OF FINITE MOVING AVERAGE PROCESSES
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

Cited in

(11)

• Seasonal unit roots in aggregate U.S. data (with discussion)
• Near seasonal integration
• Non-parametric testing for seasonally and periodically integrated processes
• On augmented HEGY tests for seasonal unit roots
• The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach
• Using the HEGY Procedure When Not All Roots Are Present
• Tests for Seasonal Moving Average Unit Root in ARIMA Models
• Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
• On LM type tests for seasonal unit roots in quarterly data
• On the asymptotic properties of some seasonal unit root tests
• Testing for periodic autocorrelations in seasonal time series data

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• partsm

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