Tests de racines unitaires multiples et saisonnalité
[eng] Multiple unit root tests and seasonality To test multiple unit roots, Dickey et Pantula have shown that the usual upward testing sequence, which consists in testing first for one unit root, is statistically false. They built a downward testing sequence where the highest integration level is tested first. The aim of this paper is to extend this result to the case of seasonal unit roots. [fre] Tests de racines unitaires multiples et saisonnalité Pour tester la présence de racines unitaires multiples, Dickey et Pantula ont montré que la procédure séquentielle ascendante, qui consiste à tester en premier la présence d'une seule racine unitaire, est statistiquement fausse. Ils ont construit un test séquentiel descendant où l'on teste en premier le plus grand nombre de racines unitaires possibles. L'objet de cet article est d'étendre ce résultat au cas où les racines sont saisonnières.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1997|
|Contact details of provider:|| Postal: 33, boulevard du port - 95011 Cergy-Pontoise Cedex|
Phone: 33 1 34 25 60 63
Fax: 33 1 34 25 62 33
Web page: http://thema.u-cergy.fr
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990.
"Seasonal integration and cointegration,"
Journal of Econometrics,
Elsevier, vol. 44(1-2), pages 215-238.
- 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.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
- Beaulieu, J Joseph & Miron, Jeffrey A, 1992. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Economic Journal, Royal Economic Society, vol. 102(413), pages 772-788, July.
- Miron, J.A., 1988. "A Cross-Country Comparaison Of Seasonal Cycles And Business Cycles," Papers 89-07, Michigan - Center for Research on Economic & Social Theory.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1991. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Papers 0011, Boston University - Industry Studies Programme.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1990. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," NBER Working Papers 3459, National Bureau of Economic Research, Inc.
- Barthelemy, Fabrice & Lubrano, Michel, 1996. "Unit roots tests and SARIMA models," Economics Letters, Elsevier, vol. 50(2), pages 147-154, February.
- Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-461, October. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ema:worpap:97-04. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stefania Marcassa)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.