Testing for Unit Roots in Seasonal Time Series

Abstract

Regression estimators of coefficients in seasonal autoregressive models are described. The percentiles of the distributions for time series that have unit roots at the seasonal lag are computed by Monte Carlo integration for finite samples and by analytic techniques and Monte Carlo integration for the limit case. The tabled distributions may be used to test the hypothesis that a time series has a seasonal unit root.

Cite this

David Alan Dickey, D. P. Hasza, Wayne Arthur Fuller (1984). Testing for Unit Roots in Seasonal Time Series. Journal of the American Statistical Association. https://doi.org/10.2307/2288276

@article{alan1984testing,
  title  = {Testing for Unit Roots in Seasonal Time Series},
  author = {Dickey, David Alan and Hasza, D. P. and Fuller, Wayne Arthur},
  year   = {1984},
  journal = {Journal of the American Statistical Association},
  doi    = {10.2307/2288276}
}

Citations in this library

Stored only when both papers are in the corpus — 185 citations exist upstream.

Cited by