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On the performance of the DHF tests against nonstationary alternatives

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  • del Barrio Castro, Tomas

Abstract

The distributions of the Dickey Hasza Fuller [1984. Testing for unit roots in seasonal time series. J. Amer. Statist. Assoc. 79, 355-367] tests are obtained when the sources of nonstationarity are the factors (1-L),(1+L),(1+L2),(L-L2) and (1+L+L2+L3). It is shown that the tests do not diverge to minus infinity in these situations.

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Bibliographic Info

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

Volume (Year): 76 (2006)
Issue (Month): 3 (February)
Pages: 291-297

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Handle: RePEc:eee:stapro:v:76:y:2006:i:3:p:291-297

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Keywords: Seasonality Vector of quarters Unit root tests DHF test;

References

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  1. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
  2. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-35.
  3. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521562607.
  4. Taylor, A.M. Robert, 2003. "On The Asymptotic Properties Of Some Seasonal Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 19(02), pages 311-321, April.
  5. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
  6. Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-77, November.
  7. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
  8. Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 221-241.
  9. Paulo Rodrigues & Denise Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 985-1004.
  10. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
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Cited by:
  1. Tomás Del Barrio Castro & Denise R. Osborn, 2011. "HEGY Tests in the Presence of Moving Averages," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 691-704, October.
  2. Ghassen El Montasser, 2011. "The overall seasonal integration tests under non-stationary alternatives: A methodological note," EERI Research Paper Series EERI_RP_2011_06, Economics and Econometrics Research Institute (EERI), Brussels.
  3. Ghassen El Montasser, 2011. "The overall seasonal integration tests under non-stationary alternatives," Journal of Economics and Econometrics, Economics and Econometrics Research Institute (EERI), Brussels, vol. 54(1), pages 24-39.

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