HEGY Tests in the Presence of Moving Averages
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References listed on IDEAS
- del Barrio Castro, Tomas, 2006. "On the performance of the DHF tests against nonstationary alternatives," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 291-297, February.
- Castro, Tomas del Barrio & Osborn, Denise R., 2008. "Testing For Seasonal Unit Roots In Periodic Integrated Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 24(04), pages 1093-1129, August.
- Tomas del Barrio Castro, 2007.
"Using the HEGY Procedure When Not All Roots Are Present,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 28(6), pages 910-922, November.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tomás Barrio Castro & Andrii Bodnar & Andreu Sansó, 2017.
"Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending,"
Springer, vol. 32(4), pages 1533-1568, December.
- Tomás del Barrio Castro & Andrii Bodnar & Andreu Sansó Rosselló, 2015. "Numerical Distribution Functions for Seasonal Unit Root Tests with OLS and GLS Detrending," DEA Working Papers 73, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016.
"Automatic identification of general vector error correction models,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy (IfW), vol. 10, pages 1-41.
- Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016. "Automatic identification of general vector error correction models," Economics Discussion Papers 2016-33, Kiel Institute for the World Economy (IfW).
- 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.
More about this item
- 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; Diffusion Processes
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