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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. 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.
  2. 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.
  3. 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.
  4. 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.
  5. Andrew C Harvey & Andrew Scott, 1994. "Seasonality in Dynamic Regression Models," CEP Discussion Papers dp0184, Centre for Economic Performance, LSE.
  6. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
  7. Nelson, Charles R & Kang, Heejoon, 1981. "Spurious Periodicity in Inappropriately Detrended Time Series," Econometrica, Econometric Society, vol. 49(3), pages 741-51, May.
  8. 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.
  9. 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.
  10. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  11. Robert Taylor & Stephen Leybourne, . "Testing for Seasonal Unit Roots: a simple alternative to HEGY," Discussion Papers 95/44, Department of Economics, University of York.
  12. E. Roy Weintraub, 1992. "Introduction," History of Political Economy, Duke University Press, vol. 24(5), pages 3-12, Supplemen.
  13. Maekawa, Koichi, 1994. "Prewhitened unit root test," Economics Letters, Elsevier, vol. 45(2), pages 145-153, June.
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