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ArticleTesting for unit roots in seasonal time series

Éric Ghysels1994

Article1994

Testing for unit roots in seasonal time series

Éric Ghysels · Hahn Shik Lee · Jaesum Noh

203 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Diverse Scientific and Economic Studies

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1987Time Series Regression with a Unit Root 1990Seasonal integration and cointegration 1988Tests For Unit Roots: A Monte Carlo Investigation 1989Tests for Unit Roots: A Monte Carlo Investigation

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1995Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability 2001Testing of seasonal fractional integration in UK and Japanese consumption and income 2000Modelling the hidden economy and the tax-gap in New Zealand 1997Critical values for unit root tests in seasonal time series 1995Tests for seasonal unit roots general to specific or specific to general?2007Performance Regimes and Marketing Policy Shifts

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2007Unit Root Testingchapter · 10 shared references 1994Chapter 46 Unit roots, structural breaks and trendschapter · 9 shared references 1995Testing the stationarity of economic time series: further Monte Carlo evidencearticle · 9 shared references 1990COINTEGRATION AND UNIT ROOTSarticle · 8 shared references 1997Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest ratearticle · 8 shared references 1996RECENT ADVANCES IN MODELLING SEASONALITYarticle · 8 shared references

Details

Year1994

Typearticle

Published1994-06-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations203

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-4076(94)90030-2

openalex_workW1555908864

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1998Additional critical values and asymptotic representations for seasonal unit root tests

2013A combination selection algorithm on forecasting