Some tests for unit roots in seasonal time series with deterministic trends
Using the Lagrange multiplier principle, we develop test statistics for testing seasonal unit roots in a time series with possible deterministic trends. The asymptotic distributions of the test statistics are derived: they are functionals of stochastic integrals of standard Brownian bridges. Empirical percentiles of the test statistics for selected seasonal periods are provided.
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Volume (Year): 16 (1993)
Issue (Month): 2 (January)
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