منابع مشابه
On Testing for Randomized Unit Root and Seasonal Unit Root
A lot of time series analysis in economics and nance is to determine whether a unit root and/or seasonal unit root is present in the data. These tests are usually based on unit root tests orginally developed by Dickey & Fuller(1981). Testing for the presence of a seasonal root has been considered by Dickey, Hasza & Fuller (1984). Li(1991) considered tests for the existence of a seasonal and a r...
متن کاملA New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks
T his paper proposes a new unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregressive (AESTAR) nonlinearity that accounts for multiple smooth breaks. We provide small sample properties which indicate the test statistics have good empirical size and power. Also, we compared small sample properties of the test statistics with Christop...
متن کاملOn time series with randomized unit root and randomized seasonal unit root
A time series model with possibly a randomized unit root and a randomized seasonal unit root is considered. Two statistical tests are developed for the null hypothesis of 3xed unit roots against the alternative that the roots are random and 5uctuate about the value of one. The testing problem is addressed via the score test approach. The asymptotic representations of the test statistics in term...
متن کاملRegression-based seasonal unit root tests
The contribution of this paper is three-fold. Firstly, a characterisation theorem of the sub-hypotheses comprising the seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests test. Secondly, it proposes regressionbased tests for the seasonal unit root hypothesis which allow a general se...
متن کاملSeasonal Unit Root Tests Under Structural Breaks
In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions...
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ژورنال
عنوان ژورنال: The Stata Journal: Promoting communications on statistics and Stata
سال: 2009
ISSN: 1536-867X,1536-8734
DOI: 10.1177/1536867x0900900305