A locally optimal seasonal unit-root test

Journal of Business and Economic Statistics

Volumn 16, Issue 3, 1998, Pages 349-356

  Caner, Mehmet ^a  

^a BILKENT UNIVERSITY   (Turkey)

Author keywords

Locally best invariant test; Maximum likelihood estimation; Montex carlo; Seasonal differencing filter; Seasonal stationarity

Indexed keywords

EID: 0032343036     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1998.10524774     Document Type: Article

References (23)

1. Andrews, D. (1991), “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,” Econometrica, 59, 817-858.
2. Ansley, C. R, and Newbold, R (1980), “Finite Sample Properties of Estimators for Autoregressive Moving Average Models,” Journal of Econometrics, 13, 159-183.
3. Billingsley, P. (1968), Convergence of Probability Measures, New York: Wiley.
4. Caner, M. (1996), “A Locally Optimal Seasonal Unit Root Test,” working paper, Koc University, Dept, of Economics.
5. Canova, F., and Hansen, B. E. (1995), “Are Seasonal Patterns Constant Over Time? A Test for Seasonal Stability,” Journal of Business &Economic Statistics, 13, 237-252.
6. Dickey, D., and Fuller, W. (1979), “Distribution of the Estimators for Autoregressive Time Series With a Unit Root,” Journal of the American Statistical Association, 84, 427-431.
7. Dickey, D., Hasza, D., and Fuller, W. (1984), “Testing for Unit Roots in Seasonal Time Series,” Journal of the American Statistical Association, 19, 355-367.
8. Galbraith, J. W., and Zinde-Walsh, V. (1994), “A Simple Noniterative Estimator for Moving Average Models,” Biometrika, 81, 143-155.
9. Ghysels, E., Lee, H., and Noh, J. (1994), “Testing for Unit Roots in Seasonal Time Series: Some Theoretical Extension and a Monte Carlo Investigation,” Journal of Econometrics, 62, 415-442.
10. Hannan, E. J. (1970), Multiple Time Series, New York: Wiley.
11. Hansen, B. E. (1990), “Lagrange Multipler Tests for Parameter Instability in Nonlinear Models,” working paper, University of Rochester, Dept, of Economics.
12. Hansen, B. E. (1992), “Testing for Parameter Instability in Linear Models,” Journal of Policy Modeling, 14, 517-533.
13. Harvey, A. C. (1989), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge, U.K.: Cambridge University Press.
14. Hylleberg, S. (1995), “Tests for Seasonal Unit Roots: A Comparative Study,” Journal of Econometrics, 69, 5-25.
15. Hylleberg, S., Engle, R., Granger, C., and Yoo, S. (1990), “Seasonal Integration and Cointegration” Journal of Econometrics, 44, 215-238.
16. King, M. L., and Hillier, G. H. (1985), “Locally Best Invariant Tests of the Error Covariance Matrix of the Linear Regression Model,” Journal of the Royal Statistical Society, Ser. B, 47, 98-102.
17. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., and Shin, Y. (1992), “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?” Journal of Econometrics, 44, 159-178.
18. Leybourne, S. J., and McCabe, B. P. M. (1994), “A Consistent Test for A Unit Root,” Journal of Business &Economic Statistics, 12, 157-167.
19. Nyblom, J. (1989), “Testing for the Constancy of Parameters Over Time,” Journal of the American Statistical Association, 84, 223-230.
20. Phillips, P. C. B., and Solo, V. (1992), “Asymptotics for Linear Processes,” The Annals of Statistics, 20, 971-1001.
21. Potscher, B. M. (1991), “Non-invertibility and Pseudo-Maximum Likelihood Estimation of Mis-specified ARMA models,” Econometric Theory, 7, 435-449.
22. Saikkonen, P., and Luukkonen, R. (1993), “Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models,” Journal of the American Statistical Association, 88, 596-601.
23. Tam, W., and Reinsel, G. (1995), “Tests for Seasonal Moving Average Unit Root in ARIMA Models,” working paper, University of Wisconsin, Madison, Dept, of Statistics.