IDEAS home Printed from https://ideas.repec.org/a/eee/intfor/v13y1997i3p307-318.html
   My bibliography  Save this article

On the practical problems of computing seasonal unit root tests

Author

Listed:
  • Taylor, A. M. Robert

Abstract

No abstract is available for this item.

Suggested Citation

  • Taylor, A. M. Robert, 1997. "On the practical problems of computing seasonal unit root tests," International Journal of Forecasting, Elsevier, vol. 13(3), pages 307-318, September.
  • Handle: RePEc:eee:intfor:v:13:y:1997:i:3:p:307-318
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0169-2070(97)00019-8
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Harvey, Andrew & Scott, Andrew, 1994. "Seasonality in Dynamic Regression Models," Economic Journal, Royal Economic Society, vol. 104(427), pages 1324-1345, November.
    2. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, pages 589-611.
    3. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, pages 215-238.
    4. Nelson, Charles R & Kang, Heejoon, 1981. "Spurious Periodicity in Inappropriately Detrended Time Series," Econometrica, Econometric Society, vol. 49(3), pages 741-751, May.
    5. 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.
    6. 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.
    7. Zacharias Psaradakis, 1997. "Testing for unit roots in time series with nearly deterministic seasonal variation," Econometric Reviews, Taylor & Francis Journals, pages 421-439.
    8. Robert Taylor & Stephen Leybourne, "undated". "Testing for Seasonal Unit Roots: a simple alternative to HEGY," Discussion Papers 95/44, Department of Economics, University of York.
    9. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, pages 215-238.
    10. Smith, Richard J. & Taylor, A. M. Robert, 1998. "Additional critical values and asymptotic representations for seasonal unit root tests," Journal of Econometrics, Elsevier, pages 269-288.
    11. Smith, Richard J. & Taylor, A. M. Robert, 1998. "Additional critical values and asymptotic representations for seasonal unit root tests," Journal of Econometrics, Elsevier, pages 269-288.
    12. Maekawa, Koichi, 1994. "Prewhitened unit root test," Economics Letters, Elsevier, vol. 45(2), pages 145-153, June.
    13. 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.
    14. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, pages 5-25.
    15. Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Oxford University Press, vol. 53(2), pages 241-261.
    16. Zacharias Psaradakis, 1996. "Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation," Archive Discussion Papers 9602, Birkbeck, Department of Economics, Mathematics & Statistics.
    17. E. Roy Weintraub, 1992. "Introduction," History of Political Economy, Duke University Press, pages 3-12.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gustavsson, Patrik & Nordström, Jonas, 1999. "The Impact of Seasonal Unit Roots and Vector ARMA Modeling on Forecasting Monthly Tourism Flows," Working Paper Series 150, Trade Union Institute for Economic Research, revised 01 Jul 2000.
    2. 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.
    3. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, pages 33-54.
    4. Olivier Darné & Claude Diebolt, 2002. "A Note on Seasonal Unit Root Tests," Quality & Quantity: International Journal of Methodology, Springer, pages 305-310.
    5. 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.
    6. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    7. Clements, Michael & Smith, Jeremy, 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 479, University of Warwick, Department of Economics.
    8. Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2016. "The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, pages 122-168.
    9. Smith, Richard J. & Robert Taylor, A. M., 2001. "Recursive and rolling regression-based tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, pages 309-336.
    10. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    11. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, pages 67-87.
    12. Ucar, Nuri & Guler, Huseyin, 2010. "Testing stochastic income convergence in seasonal heterogeneous panels," Economic Modelling, Elsevier, vol. 27(1), pages 422-431, January.
    13. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, pages 67-87.
    14. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:13:y:1997:i:3:p:307-318. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/ijforecast .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.