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Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment

Author

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  • Taylor, A.M.R.

Abstract

This paper is concerned with tests for seasonal unit roots in a univariate time series process. We construct test statistics which are similar, both exactly and asymptotically, with respect to both the initial values of the process and the possibility of differential seasonal dirft under the null hypothsis of a seasonal unit root.

Suggested Citation

  • Taylor, A.M.R., 1999. "Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment," Discussion Papers 99-11, Department of Economics, University of Birmingham.
  • Handle: RePEc:bir:birmec:99-11
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    Cited by:

    1. Paulo Rodrigues & Philip Hans Franses, 2005. "A sequential approach to testing seasonal unit roots in high frequency data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(6), pages 555-569.

    More about this item

    Keywords

    UNIT ROOTS ; TESTS;

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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