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On the practical problems of computing seasonal unit root tests

  • Taylor, A. M. Robert

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File URL: http://www.sciencedirect.com/science/article/B6V92-3SX1KJD-2/2/eada2f2f614b1c6eedebd47c090f911a
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 13 (1997)
Issue (Month): 3 (September)
Pages: 307-318

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Handle: RePEc:eee:intfor:v:13:y:1997:i:3:p:307-318
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  1. Nelson, Charles R & Kang, Heejoon, 1979. "Spurious Periodicity in Inappropriately Detrended Time Series," The Warwick Economics Research Paper Series (TWERPS) 161, University of Warwick, Department of Economics.
  2. Zacharias Psaradakis, 1997. "Testing for unit roots in time series with nearly deterministic seasonal variation," Econometric Reviews, Taylor & Francis Journals, vol. 16(4), pages 421-439.
  3. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
  4. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
  5. Harvey, Andrew & Scott, Andrew, 1994. "Seasonality in Dynamic Regression Models," Economic Journal, Royal Economic Society, vol. 104(427), pages 1324-45, November.
  6. Kiviet, Jan F, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Wiley Blackwell, vol. 53(2), pages 241-61, April.
  7. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
  8. Smith, R.J. & Taylor, R., 1995. "Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests," Cambridge Working Papers in Economics 9529, Faculty of Economics, University of Cambridge.
  9. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
  10. E. Roy Weintraub, 1992. "Introduction," History of Political Economy, Duke University Press, vol. 24(5), pages 3-12, Supplemen.
  11. Forbes, C.S. & King, M.L. & Morgan, A., 1995. "A Small Sample Variable Selection Procedure," Monash Econometrics and Business Statistics Working Papers 15/95, Monash University, Department of Econometrics and Business Statistics.
  12. Maekawa, Koichi, 1994. "Prewhitened unit root test," Economics Letters, Elsevier, vol. 45(2), pages 145-153, June.
  13. Robert Taylor & Stephen Leybourne, . "Testing for Seasonal Unit Roots: a simple alternative to HEGY," Discussion Papers 95/44, Department of Economics, University of York.
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