Testing for Unit Roots in Seasonal Time Series

DOI10.2307/2288276MaRDI QIDQ5185869zbMATH OpenOpenAlexFDO

Authors David A. Dickey, David P. Hasza, Wayne A. Fuller

Publication date 1984

Full work available at URL https://doi.org/10.2307/2288276

zbMATH Keywords

higher order modelsleast squares estimatorMonte Carlo integrationnonstationaryregression-type estimatorsseasonal autoregressive modelsstudentized regression statisticTables of percentilestesting for seasonal unit rootstime series

Mathematics Subject Classification ID

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

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Cited in

(87)

• Seasonal integration and cointegration
• Two limit theorems on ARIMA models
• The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Maximum likelihood inference on cointegration and seasonal cointegration
• Some tests for unit roots in seasonal time series with deterministic trends
• Additional critical values and asymptotic representations for seasonal unit root tests
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Changes in seasonal patterns. Are they cyclical?
• Unit roots tests and SARIMA models
• Exact tests in single equation autoregressive distributed lag models
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• F-test for seasonal differencing with a break-point
• Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
• Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
• Bootstrap tests for unit roots in seasonal autoregressive models
• Seasonal unit root tests with seasonal mean shifts
• Numerical distribution functions for seasonal unit root tests
• Recursive demeaning and deterministic seasonality
• Higher-order sample autocorrelations and the unit root hypothesis
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
• Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.
• Regression quantiles for unstable autoregressive models
• Tests for seasonal unit roots. General to specific or specific to general?
• Unit root tests for seasonal models with deterministic trends
• Unit root tests for cross-sectionally dependent seasonal panels
• Deterministic seasonality versus seasonal fractional integration
• Alternative estimators and unit root tests for seasonal autoregressive processes
• On the performance of the DHF tests against nonstationary alternatives
• A new instrumental variable estimation for diffusion processes
• Seasonal unit root tests in long periodicity cases
• Testing for seasonal unit roots by frequency domain regression
• 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
• Disentangling the source of non-stationarity in a panel of seasonal data
• Unit root seasonal autoregressive models with a polynomial trend of higher degree
• Asymmetry and nonstationarity for a seasonal time series model
• Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
• Using the HEGY Procedure When Not All Roots Are Present
• The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis
• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
• Some exact results on the sample autocovariances of a seasonal ARIMA model
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
• The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
• On the nearly nonstationary seasonal time series
• A GENERAL TEST FOR UNIVARIATE SEASONALITY
• Tests for Seasonal Moving Average Unit Root in ARIMA Models
• Testing for unit roots in time series with nearly deterministic seasonal variation
• scientific article; zbMATH DE number 1978890 (Why is no real title available?)
• SEASONAL INTEGRATION FOR DAILY DATA
• 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
• On the asymptotic properties of some seasonal unit root tests
• SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
• Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
• A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
• Parameter inference for time series with regular and seasonal unit roots
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Fully modified estimation of seasonally cointegrated processes
• Performance of seasonal unit root tests for monthly data
• Automatic SARIMA modeling and forecast accuracy
• Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series
• Tests for seasonal unit roots in panels of cross-sectionally correlated time series
• Model identification of ARIMA family using genetic algorithms
• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
• Testing for periodic autocorrelations in seasonal time series data
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• The robustness of tests for seasonal differencing to structural breaks.
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Seasonal long memory in the aggregate output
• Rescaled variance tests for seasonal stationarity
• Determining seasonal unit roots with bridge estimator: Monte Carlo evidence and an application to convergence hypothesis
• Unit root test combination via random forests
• Changes in seasonal patterns
• Exploring time and frequency linkages of green bond with renewable energy and crypto market
• Diagnosing seasonal shifts in time series using state space models
• Deterministic versus stochastic seasonal fractional integration and structural breaks
• Limiting power of unit-root tests in time-series regression
• Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
• Bootstrapping the HEGY seasonal unit root tests
• On time series with randomized unit root and randomized seasonal unit root
• Recursive estimation in econometrics

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