Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment
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.
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|Date of creation:||1999|
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Web page: http://www.economics.bham.ac.uk
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