On the properties of regression-based tests for seasonal unit roots in the presence of higher-order serial correlation

Journal of Business and Economic Statistics

Volumn 19, Issue 3, 2001, Pages 374-379

  Burridge, Peter ^a   Taylor, A M Robert ^b  

^a CITY UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF BIRMINGHAM   (United Kingdom)

Author keywords

Seasonal unit root tests; Serially correlated shocks

Indexed keywords

EID: 0035593562     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500101681019918     Document Type: Article

References (8)

1. Anderson, T. W. (1971), The Statistical Analysis of Time Series, New York: Wiley.
2. Beaulieu, J. J., and Miron, J. A. (1993), "Seasonal Unit Roots in Aggregate U.S. Data," Journal of Econometrics, 55, 305-328.
3. Burridge, P., and Taylor, A. M. R. (2000), "On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher Order Serial Correlation," Discussion Paper 86, City University, Dept. of Economics.
4. Engle, R. F., Granger, C. W. J., Hylleberg, S., and Lee, H. S. (1993), "Seasonal Cointegration: The Japanese Consumption Function," Journal of Econometrics, 55, 275-298.
5. Fuller, W. A. (1996), Introduction to Statistical Time Series (2nd ed.), New York: Wiley.
6. Ghysels, E., Lee, H. S., and Noh, J. (1994), "Testing for Unit Roots in Seasonal Time Series: Some Theoretical Extensions and a Monte Carlo Investigation," Journal of Econometrics, 62, 415-442.
7. Hylleberg, S., Engle, R. F., Granger, C. W. J., and Yoo, B. S. (1990), "Seasonal Integration and Cointegration," Journal of Econometrics, 44, 215-238.
8. Smith, R. J., and Taylor, A. M. R. (1998), "Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests," Journal of Econometrics, 85, 269-288.