Testing for seasonal unit roots by frequency domain regression
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- Chambers, Marcus J. & Ercolani, Joanne S. & Taylor, A.M. Robert, 2014. "Testing for seasonal unit roots by frequency domain regression," Journal of Econometrics, Elsevier, vol. 178(P2), pages 243-258.
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More about this item
Keywords
Seasonal unit root tests; moving average; frequency domain regression; spectral density estimator; Brownian motion;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2010-03-20 (Econometric Time Series)
- NEP-FMK-2010-03-20 (Financial Markets)
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