×

Rescaled variance tests for seasonal stationarity. (English) Zbl 07681747

MSC:

62-XX Statistics
91-XX Game theory, economics, finance, and other social and behavioral sciences
PDFBibTeX XMLCite
Full Text: DOI

References:

[1] Billingsley, P. 2013. Convergence of Probability Measures. New York: John Wiley & Sons. · Zbl 0172.21201
[2] Caner, M. 1998. “A Locally Optimal Seasonal Unit-Root Test.” Journal of Business & Economic Statistics 16: 349-56. doi:10.2307/1392511.
[3] Canova, F., and B. E. Hansen. 1995. “Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability.” Journal of Business & Economic Statistics 13: 237-52. doi:10.1080/07350015.1995.10524598.
[4] Castro, T. d. B. 2007. “Using the HEGY Procedure when Not All Roots Are Present.” Journal of Time Series Analysis 28: 910-22. doi:10.1111/j.1467-9892.2007.00539.x. · Zbl 1150.62044
[5] Eroğlu, B. A., K. Ç. Göğebakan, and M. Trokić. 2018. “Powerful Nonparametric Seasonal Unit Root Tests.” Economics Letters 167: 75-80. · Zbl 1401.62135
[6] Ghysels, E., H. S. Lee, and J. Noh. 1994. “Testing for Unit Roots in Seasonal Time Series: Some Theoretical Extensions and a Monte Carlo Investigation.” Journal of Econometrics 62: 415-42. doi:10.1016/0304-4076(94)90030-2.
[7] Giraitis, L., P. Kokoszka, R. Leipus, and G. Teyssière. 2003. “Rescaled Variance and Related Tests for Long Memory in Volatility and Levels.” Journal of Econometrics 112: 265-94. doi:10.1016/s0304-4076(02)00197-5. · Zbl 1027.62064
[8] Giraitis, L., R. Leipus, and A. Philippe. 2006. “A Test for Stationarity versus Trends and Unit Roots for a Wide Class of Dependent Errors.” Econometric Theory: 989-1029. · Zbl 1170.62411
[9] Haldrup, N., A. Montanes, and A. Sanso. 2005. “Measurement Errors and Outliers in Seasonal Unit Root Testing.” Journal of Econometrics 127: 103-28. doi:10.1016/j.jeconom.2004.06.005. · Zbl 1337.62218
[10] Hannan, E. J. 2009. Multiple Time Series, vol. 38. New York: John Wiley & Sons. · Zbl 0211.49804
[11] Hansen, B. E., and P. C. Phillips. 1990. “Estimation and Inference in Models of Cointegration: A Simulation Study.” Advances in Econometrics 8: 225-48.
[12] Hylleberg, S. 1995. “Tests for Seasonal Unit Roots General to Specific or Specific to General?” Journal of Econometrics 69: 5-25. doi:10.1016/0304-4076(94)01660-r. · Zbl 0834.62106
[13] Hylleberg, S., R. F. Engle, C. W. Granger, and B. S. Yoo. 1990. “Seasonal Integration and Cointegration.” Journal of Econometrics 44: 215-38. doi:10.1016/0304-4076(90)90080-d. · Zbl 0709.62102
[14] Kwiatkowski, D., P. C. Phillips, P. Schmidt, and Y. Shin. 1992. “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?” Journal of Econometrics 54: 159-78. doi:10.1016/0304-4076(92)90104-y. · Zbl 0871.62100
[15] Newey, W. K., and K. D. West. 1987. “Hypothesis Testing with Efficient Method of Moments Estimation.” International Economic Review: 777-87. doi:10.2307/2526578. · Zbl 0676.62029
[16] Phillips, P. C., and V. Solo. 1992. “Asymptotics for Linear Processes.” Annals of Statistics: 971-1001. · Zbl 0759.60021
[17] Pötscher, B. M. 1991. “Noninvertibility and Pseudo-maximum Likelihood Estimation of Misspecified ARMA Models.” Econometric Theory: 435-49. doi:10.1017/s0266466600004692.
[18] Rodrigues, P. M., and A. R. Taylor. 2007. “Efficient Tests of the Seasonal Unit Root Hypothesis.” Journal of Econometrics 141: 548-73. doi:10.1016/j.jeconom.2006.10.007. · Zbl 1418.62351
[19] Smith, R. J., and A. R. Taylor. 1998. “Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests.” Journal of Econometrics 85: 269-88. doi:10.1016/s0304-4076(97)00102-4. · Zbl 1041.62517
[20] Smith, R. J., A. R. Taylor, and T. d. B. Castro. 2009. “Regression-based Seasonal Unit Root Tests.” Econometric Theory: 527-60. doi:10.1017/s0266466608090166. · Zbl 1279.62174
[21] Taylor, A. R. 2003a. “Locally Optimal Tests against Unit Roots in Seasonal Time Series Processes.” Journal of Time Series Analysis 24: 591-612. doi:10.1111/1467-9892.00324. · Zbl 1036.62091
[22] Taylor, A. 2003b. “Robust Stationarity Tests in Seasonal Time Series Processes.” Journal of Business & Economic Statistics 21: 156-63. doi:10.1198/073500102288618856.
[23] Taylor, A. R. 2005. “Variance Ratio Tests of the Seasonal Unit Root Hypothesis.” Journal of Econometrics 124: 33-54. doi:10.1016/j.jeconom.2003.12.012. · Zbl 1337.62227
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.