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On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity

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  1. del Barrio Castro, Tomás & Rodrigues, Paulo M.M. & Robert Taylor, A.M., 2018. "Semi-Parametric Seasonal Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 34(2), pages 447-476, April.
  2. Tomás Barrio Castro & Andrii Bodnar & Andreu Sansó, 2017. "Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending," Computational Statistics, Springer, vol. 32(4), pages 1533-1568, December.
  3. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
  4. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
  5. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
  6. Łukasz Lenart, 2017. "Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(1), pages 29-67, March.
  7. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, Department of Economics and Business Economics, Aarhus University.
  8. 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.
  9. Zou, Nan & Politis, Dimitris N., 2021. "Bootstrap seasonal unit root test under periodic variation," Econometrics and Statistics, Elsevier, vol. 19(C), pages 1-21.
  10. Łukasz Lenart & Błażej Mazur, 2016. "On Bayesian Inference for Almost Periodic in Mean Autoregressive Models," FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making, in: Magdalena Osińska (ed.), Statistical Review, vol. 63, 2016, 3, edition 1, volume 63, chapter 1, pages 255-272, University of Lodz.
  11. Giuseppe Cavaliere & Anton Skrobotov & A. M. Robert Taylor, 2019. "Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 509-532, May.
  12. Christos Avdoulas & Stelios Bekiros & Sabri Boubaker, 2018. "Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets," Annals of Operations Research, Springer, vol. 262(2), pages 307-333, March.
  13. Tomás del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2019. "Temporal Aggregation of Seasonally Near‐Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 872-886, November.
  14. Politis, Dimitris, 2016. "HEGY test under seasonal heterogeneity," University of California at San Diego, Economics Working Paper Series qt2q4054kf, Department of Economics, UC San Diego.
  15. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
  16. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics.
  17. Rotger, Gabriel Pons, "undated". "Testing for Seasonal Unit Roots with Temporally Aggregated Time Series," Economics Working Papers 2003-16, Department of Economics and Business Economics, Aarhus University.
  18. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871.
  19. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
  20. Haldrup Niels & Montañes Antonio & Sansó Andreu, 2011. "Detection of Additive Outliers in Seasonal Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-20, April.
  21. Łukasz Lenart & Mateusz Pipień, 2015. "Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(3), pages 169-186, September.
  22. Burridge, P. & Gjorstrup, F. & Robert Taylor, A. M., 2004. "Robust Inference on Seasonal Unit Roots via a Bootstrap Applied to OECD Macroeconomic Series," Working Papers 04/08, Department of Economics, City University London.
  23. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 124(1), pages 33-54, January.
  24. Kemal Çag̃lar Gög̃ebakan & Burak Alparslan Eroglu, 2022. "Non-parametric seasonal unit root tests under periodic non-stationary volatility," Computational Statistics, Springer, vol. 37(5), pages 2581-2636, November.
  25. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  26. Kourogenis, Nikolaos & Pittis, Nikitas, 2008. "Cointegration, variance shifts and the limiting distribution of the OLS estimator," Economics Letters, Elsevier, vol. 99(1), pages 103-106, April.
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