Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
AbstractIn an important generalization of zero frequency autore- gressive unit root tests, Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots at the seasonal frequencies in quarterly time series. We develop likelihood ratio tests for seasonal unit roots and show that these tests are "nearly efficient" in the sense of Elliott, Rothenberg, and Stock (1996), i.e. that their local asymptotic power functions are indistinguishable from the Gaussian power envelope. Currently available nearly efficient testing procedures for seasonal unit roots are regression-based and require the choice of a GLS detrending parameter, which our likelihood ratio tests do not.
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Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2009-55.
Date of creation: 24 Nov 2009
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Web page: http://www.econ.au.dk/afn/
Likelihood Ratio Test; Seasonal Unit Root Hypothesis;
Other versions of this item:
- Jansson Michael & Nielsen Morten Ørregaard, 2011. "Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-21, February.
- Michael Jansson & Morten Ørregaard Nielsen, 2009. "Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots," Working Papers 1224, Queen's University, Department of Economics.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-05 (All new papers)
- NEP-ECM-2009-12-05 (Econometrics)
- NEP-ETS-2009-12-05 (Econometric Time Series)
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