Using the HEGY Procedure When Not All Roots Are Present

DOI10.1111/J.1467-9892.2007.00539.XMaRDI QIDQ3505337zbMATH OpenOpenAlexFDO

Authors Tomás del Barrio Castro

Publication date 18 June 2008

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2445/12060

zbMATH Keywords

HEGY testsseasonalityunit-root tests

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Structural breaks and seasonal integration
• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
• THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS
• The behaviour of Dickey–Fuller and Phillips–Perron testsunder the alternative hypothesis
• scientific article; zbMATH DE number 6951434
• Seasonal unit roots in aggregate U.S. data (with discussion)
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Spectral approach to parameter-free unit root testing
• Bootstrapping the HEGY seasonal unit root tests

Cites work

• Additional critical values and asymptotic representations for seasonal unit root tests
• Alternative estimators and unit root tests for seasonal autoregressive processes
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• Asymptotic Properties of Residual Based Tests for Cointegration
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• On the performance of the DHF tests against nonstationary alternatives
• Seasonal integration and cointegration
• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
• Testing for Unit Roots in Seasonal Time Series
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• Using the HEGY Procedure When Not All Roots Are Present

Cited in

(4)

• On the performance of the DHF tests against nonstationary alternatives
• 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
• Rescaled variance tests for seasonal stationarity

This page was built for publication: Using the HEGY Procedure When Not All Roots Are Present

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3505337)