Some tests for unit roots in seasonal time series with deterministic trends
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References listed on IDEAS
- Cohen, Arthur & Sackrowitz, Harold B., 1989. "Two stage conditionally unbiased estimators of the selected mean," Statistics & Probability Letters, Elsevier, vol. 8(3), pages 273-278, August.
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- Luis C. Nunes & Paulo M. M. Rodrigues, 2011.
"On LM‐type tests for seasonal unit roots in the presence of a break in trend,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 32(2), pages 108-134, March.
- Luís Catela Nunes & Paulo M.M. Rodrigues, 2009. "On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend," Working Papers w200920, Banco de Portugal, Economics and Research Department.
- Shin, Dong Wan & So, Beong Soo, 2000. "Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments," Journal of Econometrics, Elsevier, vol. 99(1), pages 107-137, November.
- Cho, Sinsup & Park, Young J. & Ahn, Sung K., 1995. "Unit root tests for seasonal models with deterministic trends," Statistics & Probability Letters, Elsevier, vol. 25(1), pages 27-35, October.
- Luis Gil-Alana, 2010. "A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics," Empirical Economics, Springer, vol. 38(2), pages 471-501, April.
- El-Shazly, Alaa, 2016. "Structural breaks and monetary dynamics: A time series analysis," Economic Modelling, Elsevier, vol. 53(C), pages 133-143.
- Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
More about this item
KeywordsSeasonal unit roots deterministic trends Lagrange multiplier test Brownian bridges;
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