HEGY Tests in the Presence of Moving Averages
Download full text from publisher
Other versions of this item:
References listed on IDEAS
- del Barrio Castro, Tomas, 2006. "On the performance of the DHF tests against nonstationary alternatives," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 291-297, February.
- Castro, Tomas del Barrio & Osborn, Denise R., 2008. "Testing For Seasonal Unit Roots In Periodic Integrated Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 24(04), pages 1093-1129, August.
- Tomas del Barrio Castro, 2007.
"Using the HEGY Procedure When Not All Roots Are Present,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 28(6), pages 910-922, November.
- Tomas del Barrio Castro, 2007. "Using the HEGY Procedure When Not All Roots Are Present," Working Papers in Economics 170, Universitat de Barcelona. Espai de Recerca en Economia.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016.
"Automatic identification of general vector error correction models,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy (IfW), vol. 10, pages 1-41.
- Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016. "Automatic identification of general vector error correction models," Economics Discussion Papers 2016-33, Kiel Institute for the World Economy (IfW).
- repec:spr:compst:v:32:y:2017:i:4:d:10.1007_s00180-016-0688-9 is not listed on IDEAS
- Tomás Barrio Castro & Andrii Bodnar & Andreu Sansó, 2017.
"Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending,"
Springer, vol. 32(4), pages 1533-1568, December.
- Tomás del Barrio Castro & Andrii Bodnar & Andreu Sansó Rosselló, 2015. "Numerical Distribution Functions for Seasonal Unit Root Tests with OLS and GLS Detrending," DEA Working Papers 73, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Politis, Dimitris, 2016. "HEGY test under seasonal heterogeneity," University of California at San Diego, Economics Working Paper Series qt2q4054kf, Department of Economics, UC San Diego.
More about this item
KeywordsSeasonal integration; HEGY tests; unit root tests; moving averages;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-17 (All new papers)
- NEP-ECM-2010-07-17 (Econometrics)
- NEP-ETS-2010-07-17 (Econometric Time Series)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ubi:deawps:42. 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: (Xisco Oliver). General contact details of provider: http://edirc.repec.org/data/dauibes.html .
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 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 RePEc Author Service 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.