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Some tests for unit roots in seasonal time series with deterministic trends

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  • Ahn, Sung K.
  • Cho, Sinsup
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    Abstract

    Using 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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    File URL: http://www.sciencedirect.com/science/article/B6V1D-45D9T5H-1/2/f067bc6748ae959312896cd17d435c5a
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 16 (1993)
    Issue (Month): 2 (January)
    Pages: 85-95

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    Handle: RePEc:eee:stapro:v:16:y:1993:i:2:p:85-95

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    Related research

    Keywords: Seasonal unit roots deterministic trends Lagrange multiplier test Brownian bridges;

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    Cited by:
    1. Cho, Sinsup & Park, Young J. & Ahn, Sung K., 1995. "Unit root tests for seasonal models with deterministic trends," Statistics & Probability Letters, Elsevier, vol. 25(1), pages 27-35, October.
    2. Luis C. Nunes & Paulo M. M. Rodrigues, 2011. "On LM‐type tests for seasonal unit roots in the presence of a break in trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 108-134, 03.
    3. Shin, Dong Wan & So, Beong Soo, 2000. "Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments," Journal of Econometrics, Elsevier, vol. 99(1), pages 107-137, November.
    4. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
    5. Luis Gil-Alana, 2010. "A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics," Empirical Economics, Springer, vol. 38(2), pages 471-501, April.

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