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On the practical problems of computing seasonal unit root tests

  • Taylor, A. M. Robert

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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. 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.
  2. Andrew C Harvey & Andrew Scott, 1994. "Seasonality in Dynamic Regression Models," CEP Discussion Papers dp0184, Centre for Economic Performance, LSE.
  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. 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.
  5. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
  6. 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.
  7. 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.
  8. 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.
  9. Robert Taylor & Stephen Leybourne, . "Testing for Seasonal Unit Roots: a simple alternative to HEGY," Discussion Papers 95/44, Department of Economics, University of York.
  10. 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.
  11. E. Roy Weintraub, 1992. "Introduction," History of Political Economy, Duke University Press, vol. 24(5), pages 3-12, Supplemen.
  12. 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.
  13. Maekawa, Koichi, 1994. "Prewhitened unit root test," Economics Letters, Elsevier, vol. 45(2), pages 145-153, June.
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