Numerical distribution functions for seasonal unit root tests
نویسندگان
چکیده
منابع مشابه
Numerical distribution functions for seasonal unit root tests
When working with time series data observed at intervals smaller than a year, it is often necessary to test for the presence of seasonal unit roots. One of the most widely used methods for testing seasonal unit roots is that of HEGY, which provides test statistics with non-standard distributions. This paper describes a generalisation of this method for any periodicity and uses a response surfac...
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...
متن کاملSeasonal unit root tests and the role of initial conditions
In the context of regression-based (quarterly) seasonal unit root tests, we examine the impact of initial conditions (one for each quarter) of the process on test power. We investigate the behaviour of the OLS detrended HEGY seasonal unit root tests of Hylleberg et al. (1990) and the corresponding quasi-differenced (QD) detrended tests of Rodrigues and Taylor (2007), when the initial conditions...
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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...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2014
ISSN: 0167-9473
DOI: 10.1016/j.csda.2013.03.006