Some tests for unit roots in seasonal time series with deterministic trends
AbstractUsing the Lagrange multiplier principle, we develop test statistics for testing seasonal unit roots in a time series with possible deterministic trends. The asymptotic distributions of the test statistics are derived: they are functionals of stochastic integrals of standard Brownian bridges. Empirical percentiles of the test statistics for selected seasonal periods are provided.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 16 (1993)
Issue (Month): 2 (January)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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