منابع مشابه
On 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...
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Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated from the unit root component. In this framework simple shift functions result in a smooth transition ...
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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...
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Log periodogram (LP) regression is shown to be consistent and to have a mixed normal limit distribution when the memory parameter d 1⁄4 1. Gaussian errors are not required. The proof relies on a new result showing that asymptotically infinite collections of discrete Fourier transforms (dft’s) of a short memory process at the fundamental frequencies in the vicinity of the origin can be treated a...
متن کاملN-consistent Semiparametric Regression: Unit Root Tests with Nonlinearities
We develop unit root tests using additional time series as suggested in Hansen (1995). However, we allow for the covariate to enter the model in a nonlinear fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988). It is proven that the autoregressive parameter is estimated at rate N even though part of the model is estimated nonparametrically. The limi...
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ژورنال
عنوان ژورنال: Econometrica
سال: 1987
ISSN: 0012-9682
DOI: 10.2307/1913237