Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests

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Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests

Author Info

Smith, R.J.
Taylor, R.

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Abstract

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Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 9529.

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Length: 16 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:cam:camdae:9529

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Related research
Keywords: UNIT ROOTS; TESTS; TIME SERIES;

Other versions of this item:

Article
- Smith, Richard J. & Taylor, A. M. Robert, 1998. "Additional critical values and asymptotic representations for seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 85(2), pages 269-288, August. [Downloadable!] (restricted)
Paper
- Richard Smith & Robert Taylor, . "Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests," Discussion Papers 95/43, Department of Economics, University of York.

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Statistical Decision Theory; Operations Research

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Peter Burridge & Frida Gjorstrup & A.M. Robert Taylor, 2004. "Robust inference on seasonal unit roots via a bootstrap applied to OECD macroeconomic series," City University Economics Discussion Papers 04/08, Department of Economics, City University, London. [Downloadable!]
Artur C. B. da Silva Lopes & Antonio Montañés, 2004. "The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts," Econometrics 0411010, EconWPA. [Downloadable!]
Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
P.M.M. Rodrigues & P.H. Franses, 2003. "A sequential approach to testing seasonal unit roots in high frequency data," Econometric Institute Report 318, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Other versions:
- Rodrigues, P.M.M. & Franses, Ph.H.B.F., 2003. "A sequential approach to testing seasonal unit roots in high frequency data," Econometric Institute Report EI 2003-14 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Paulo Rodrigues & Philip Franses, 2005. "A sequential approach to testing seasonal unit roots in high frequency data," Journal of Applied Statistics, Taylor and Francis Journals, vol. 32(6), pages 555-569, August. [Downloadable!] (restricted)
Sandra G. Feltham & David E.A. Giles, 1999. "Testing for Unit Roots in Semi-Annual Data," Econometrics Working Papers 9912, Department of Economics, University of Victoria. [Downloadable!]
Rotger, Gabriel Pons, . "Testing for Seasonal Unit Roots with Temporally Aggregated Time Series," Economics Working Papers 2003-16, School of Economics and Management, University of Aarhus. [Downloadable!]
Tomas del Barrio Castro, 2007. "Using the HEGY Procedure When Not All Roots Are Present," Working Papers in Economics 170, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
Other versions:
- Tomas del Barrio Castro, 2007. "Using the HEGY Procedure When Not All Roots Are Present," Journal of Time Series Analysis, Blackwell Publishing, vol. 28(6), pages 910-922, November. [Downloadable!] (restricted)
Paulo M. M. Rodrigues, Denise R. Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor and Francis Journals, vol. 26(8), pages 985-1004, December. [Downloadable!] (restricted)
Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004. "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers ECO2004/29, European University Institute. [Downloadable!]
Other versions:
- Paulo M.M. Rodrigues & A.M. Robert Taylor, . "Efficient Tests of the Seasonal Unit Root Hypothesis," Discussion Papers 06/12, University of Nottingham, School of Economics. [Downloadable!]
- Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2007. "Efficient tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 141(2), pages 548-573, December. [Downloadable!] (restricted)
Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor and Francis Journals, vol. 21(2), pages 221-241. [Downloadable!] (restricted)
Robert Taylor & Peter Burridge, 2004. "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings 125, Econometric Society. [Downloadable!]
Other versions:
- Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November. [Downloadable!] (restricted)

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