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Regression-Based Seasonal Unit Root Tests

Citations

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Cited by:

  1. del Barrio Castro, Tomás & Rodrigues, Paulo M.M. & Robert Taylor, A.M., 2018. "Semi-Parametric Seasonal Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 34(2), pages 447-476, April.
  2. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
  3. Jansson Michael & Nielsen Morten Ørregaard, 2011. "Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-21, February.
  4. Olivier Darné & Claude Diebolt, 2002. "A Note on Seasonal Unit Root Tests," Quality & Quantity: International Journal of Methodology, Springer, vol. 36(3), pages 305-310, August.
  5. 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.
  6. Tomás Barrio Castro & Andrii Bodnar & Andreu Sansó, 2017. "Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending," Computational Statistics, Springer, vol. 32(4), pages 1533-1568, December.
  7. Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2007. "Efficient tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 141(2), pages 548-573, December.
  8. Burridge, Peter & Taylor, A. M. Robert, 2001. "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, vol. 104(1), pages 91-117, August.
  9. Uwe Hassler & Paulo M. M. Rodrigues, 2004. "Seasonal Unit Root Tests Under Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 33-53, January.
  10. Haldrup, Niels Prof. & Montanes, Antonio & Sansó, Andreu, 2000. "Measurement Errors and Outliers in Seasonal Unit Root Testing," University of California at San Diego, Economics Working Paper Series qt0gw7q9hk, Department of Economics, UC San Diego.
  11. Castro, Tomás del Barrio & Osborn, Denise R. & Taylor, A.M. Robert, 2012. "On Augmented Hegy Tests For Seasonal Unit Roots," Econometric Theory, Cambridge University Press, vol. 28(5), pages 1121-1143, October.
  12. Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2022. "On cointegration for processes integrated at different frequencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 412-435, May.
  13. Tom�s del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2016. "The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 35(1), pages 122-168, January.
  14. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
  15. Zou, Nan & Politis, Dimitris N., 2021. "Bootstrap seasonal unit root test under periodic variation," Econometrics and Statistics, Elsevier, vol. 19(C), pages 1-21.
  16. Giuseppe Cavaliere & Anton Skrobotov & A. M. Robert Taylor, 2019. "Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 509-532, May.
  17. del Barrio Castro, Tomás & Osborn, Denise R., 2023. "Periodic Integration and Seasonal Unit Roots," MPRA Paper 117935, University Library of Munich, Germany, revised 2023.
  18. Smith, Richard J. & Robert Taylor, A. M., 2001. "Recursive and rolling regression-based tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 105(2), pages 309-336, December.
  19. Haldrup, Niels & Montanes, Antonio & Sanso, Andreu, 2005. "Measurement errors and outliers in seasonal unit root testing," Journal of Econometrics, Elsevier, vol. 127(1), pages 103-128, July.
  20. Atle Oglend & Frank Asche, 2016. "Cyclical non-stationarity in commodity prices," Empirical Economics, Springer, vol. 51(4), pages 1465-1479, December.
  21. Luis C. Nunes & Paulo M. M. Rodrigues, 2011. "On LM‐type tests for seasonal unit roots in the presence of a break in trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 108-134, March.
  22. Eroğlu, Burak Alparslan & Göğebakan, Kemal Çağlar & Trokić, Mirza, 2018. "Powerful nonparametric seasonal unit root tests," Economics Letters, Elsevier, vol. 167(C), pages 75-80.
  23. 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.
  24. Robert Taylor, 2005. "On the limiting behaviour of augmented seasonal unit root tests," Economics Bulletin, AccessEcon, vol. 3(3), pages 1-10.
  25. Kemal Çag̃lar Gög̃ebakan & Burak Alparslan Eroglu, 2022. "Non-parametric seasonal unit root tests under periodic non-stationary volatility," Computational Statistics, Springer, vol. 37(5), pages 2581-2636, November.
  26. Yushan Cheng & Yongchang Hui & Michael McAleer & Wing-Keung Wong, 2021. "Spurious Relationships for Nearly Non-Stationary Series," JRFM, MDPI, vol. 14(8), pages 1-24, August.
  27. Sheng-Hung Chen & Song-Zan Chiou-Wei & Zhen Zhu, 2022. "Stochastic seasonality in commodity prices: the case of US natural gas," Empirical Economics, Springer, vol. 62(5), pages 2263-2284, May.
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