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Tests of the Seasonal Unit Root Hypothesis Against Heteroscedastic Seasonal Integration

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Author Info

  • Taylor, A.M.R.
  • Smith, R.J.

Abstract

This paper considers the problem of testing for a nonstochastic seasonal unit root in a seasonally observed time-series process against the alternative of a randomized seasonel root with mean unity; that is, the process displays heteroscedastic seasonal integration.

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Bibliographic Info

Paper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 99-13.

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Length: 20 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:bir:birmec:99-13

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Postal: Edgbaston, Birmingham, B15 2TT
Web page: http://www.economics.bham.ac.uk
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Related research

Keywords: UNIT ROOTS ; TESTS;

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Cited by:
  1. Abadir, Karim M. & Distaso, Walter, 2007. "Testing joint hypotheses when one of the alternatives is one-sided," Journal of Econometrics, Elsevier, vol. 140(2), pages 695-718, October.
  2. Fong, Pak Wing & Li, Wai Keung, 2003. "On time series with randomized unit root and randomized seasonal unit root," Computational Statistics & Data Analysis, Elsevier, vol. 43(3), pages 369-395, July.
  3. Fong, P.W. & Li, W.K. & An, Hong-Zhi, 2006. "A simple multivariate ARCH model specified by random coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1779-1802, December.
  4. 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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