Testing for Unit Roots in Monthly Time Series
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Recommendations
- Some tests for unit roots in seasonal time series with deterministic trends
- Performance of seasonal unit root tests for monthly data
- Additional critical values and asymptotic representations for seasonal unit root tests
- Testing for unit roots in time series with nearly deterministic seasonal variation
- Likelihood ratio tests for seasonal unit roots
Cited in
(37)- The effect of seasonal adjustment filters on tests for a unit root (with discussion)
- Seasonal unit roots in aggregate U.S. data (with discussion)
- Some tests for unit roots in seasonal time series with deterministic trends
- Additional critical values and asymptotic representations for seasonal unit root tests
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending
- Tests for seasonal unit roots. General to specific or specific to general?
- A sign test for unit roots in a seasonal MTAR model
- Alternative estimators and unit root tests for seasonal autoregressive processes
- Numerical distribution functions for seasonal stability tests
- Measurement errors and outliers in seasonal unit root testing
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
- Likelihood ratio tests for seasonal unit roots
- Determining the order of differencing in seasonal time series processes
- On augmented franses tests for seasonal unit roots
- Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information
- Seasonal unit root tests and the role of initial conditions
- A sequential approach to testing seasonal unit roots in high frequency data
- REGRESSION-BASED SEASONAL UNIT ROOT TESTS
- On Periodic Structures and Testing for Seasonal Unit Roots
- Testing for unit roots in time series with nearly deterministic seasonal variation
- ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
- Seasonal Unit Root Tests Based on Forward and Reverse Estimation
- Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
- scientific article; zbMATH DE number 2073356 (Why is no real title available?)
- On LM type tests for seasonal unit roots in quarterly data
- scientific article; zbMATH DE number 1844043 (Why is no real title available?)
- APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS
- Performance of seasonal unit root tests for monthly data
- On LM-type tests for seasonal unit roots in the presence of a break in trend
- Periodic autoregressive models for time series with integrated seasonality
- Testing for Unit Roots in Seasonal Time Series
- Modelling U.S. monthly inflation in terms of a jointly seasonal and non-seasonal long memory process
- ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- Recursive and rolling regression-based tests of the seasonal unit root hypothesis
- Bootstrapping the HEGY seasonal unit root tests
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