On Phillips-perron Type Tests for Seasonal Unit Roots
نویسندگان
چکیده
In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238)+ The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range ~0,p#+ Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al+ (1990)+On the other hand, the semiparametric version suffers from severe size distortions in some situations+
منابع مشابه
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تاریخ انتشار 1998