메뉴 건너뛰기




Volumn 26, Issue 8, 1999, Pages 985-1004

Performance of seasonal unit root tests for monthly data

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0038200612     PISSN: 02664763     EISSN: None     Source Type: Journal    
DOI: 10.1080/02664769921981     Document Type: Article
Times cited : (25)

References (28)
  • 2
    • 0010160457 scopus 로고
    • Seasonal unit roots in aggregate U.S. data
    • BEAULIEU, J. J. & MIRON, J. A. (1993) Seasonal unit roots in aggregate U.S. data, Journal of Econometrics, 55, pp. 305-328.
    • (1993) Journal of Econometrics , vol.55 , pp. 305-328
    • Beaulieu, J.J.1    Miron, J.A.2
  • 5
    • 84953063700 scopus 로고
    • Are seasonal patterns constant over time? A test for seasonal stability
    • CANOVA, F. & HANSEN, B. E. (1995) Are seasonal patterns constant over time? A test for seasonal stability, Journal of Business and Economic Statistics, 13, pp. 237-252.
    • (1995) Journal of Business and Economic Statistics , vol.13 , pp. 237-252
    • Canova, F.1    Hansen, B.E.2
  • 7
    • 38249005971 scopus 로고
    • Discussion: Seasonal unit roots in aggregate U.S. data
    • DICKEY, D. A. (1993) Discussion: Seasonal unit roots in aggregate U.S. data, Journal of Econometrics, 55, pp. 329-331.
    • (1993) Journal of Econometrics , vol.55 , pp. 329-331
    • Dickey, D.A.1
  • 8
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • DICKEY, D. A. & FULLER, W. A. (1979) Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, pp. 427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 10
  • 11
    • 0000962885 scopus 로고
    • Seasonality, nonstationarity and forecasting of monthly time series
    • FRANSES, P. H. (1991) Seasonality, nonstationarity and forecasting of monthly time series, International Journal of Forecasting, 7, pp. 199-208.
    • (1991) International Journal of Forecasting , vol.7 , pp. 199-208
    • Franses, P.H.1
  • 13
    • 0002516917 scopus 로고    scopus 로고
    • Critical values for unit root tests in seasonal time series
    • FRANSES, P. H. & HOBIJN, B. (1997) Critical values for unit root tests in seasonal time series, Journal of Applied Statistics, 24, pp. 25-47.
    • (1997) Journal of Applied Statistics , vol.24 , pp. 25-47
    • Franses, P.H.1    Hobijn, B.2
  • 14
    • 38149147786 scopus 로고
    • Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation
    • GHYSELS, E., LEE, H. S. & NOH, J. (1994) Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation, Journal of Econometrics, 62, pp. 415-442.
    • (1994) Journal of Econometrics , vol.62 , pp. 415-442
    • Ghysels, E.1    Lee, H.S.2    Noh, J.3
  • 15
    • 0008397799 scopus 로고    scopus 로고
    • The effect of linear filters on dynamic time series with structural change
    • GHYSELS, E. & PERRON, P. (1996) The effect of linear filters on dynamic time series with structural change, Journal of Econometrics, 70, pp. 69-97.
    • (1996) Journal of Econometrics , vol.70 , pp. 69-97
    • Ghysels, E.1    Perron, P.2
  • 16
    • 0001575014 scopus 로고
    • Testing for nonstationary parameter specifications in seasonal time series models
    • HASZA, D. P. & FULLER, W. A. (1982) Testing for nonstationary parameter specifications in seasonal time series models, The Annals of Statistics, 10, pp. 1209-1216.
    • (1982) The Annals of Statistics , vol.10 , pp. 1209-1216
    • Hasza, D.P.1    Fuller, W.A.2
  • 17
    • 9144264681 scopus 로고
    • Tests for seasonal unit roots: General to specific or specific to general?
    • HYLLEBERG, S. (1995) Tests for seasonal unit roots: General to specific or specific to general?, Journal of Econometrics, 69, pp. 5-25.
    • (1995) Journal of Econometrics , vol.69 , pp. 5-25
    • Hylleberg, S.1
  • 20
    • 0344046753 scopus 로고
    • Testing the order of differencing in quarterly data: An illustration of the testing sequence
    • ILMAKUNAS, P. (1990) Testing the order of differencing in quarterly data: An illustration of the testing sequence, Oxford Bulletin of Economics and Statistics, 52, pp. 79-87.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 79-87
    • Ilmakunas, P.1
  • 21
    • 0039347360 scopus 로고    scopus 로고
    • Testing for cyclical non-stationarity in autoregressive processes
    • KUNST, R. M. (1997) Testing for cyclical non-stationarity in autoregressive processes, Journal of Time Series Analysis, 18, pp. 325-330.
    • (1997) Journal of Time Series Analysis , vol.18 , pp. 325-330
    • Kunst, R.M.1
  • 22
    • 49049143455 scopus 로고
    • Trends and random walks in macroeconomic time series: Some evidence and implications
    • NELSON, C. R. & PLOSSER, C. (1982) Trends and random walks in macroeconomic time series: Some evidence and implications, Journal of Monetary Economics, 10, pp. 139-162.
    • (1982) Journal of Monetary Economics , vol.10 , pp. 139-162
    • Nelson, C.R.1    Plosser, C.2
  • 23
    • 38249016766 scopus 로고
    • A survey of seasonality in UK macroeconomic variables
    • OSBORN, D. R. (1990) A survey of seasonality in UK macroeconomic variables, International Journal of Forecasting, 6, pp. 327-336.
    • (1990) International Journal of Forecasting , vol.6 , pp. 327-336
    • Osborn, D.R.1
  • 24
    • 0001791206 scopus 로고    scopus 로고
    • Seasonal unit roots and forecasts of two-digit European industrial production
    • OSBORN, D. R., HERAVI, S. & BIRCHENHALL, C. R. (1999) Seasonal unit roots and forecasts of two-digit European industrial production, International Journal of Forecasting, 15, pp. 27-47.
    • (1999) International Journal of Forecasting , vol.15 , pp. 27-47
    • Osborn, D.R.1    Heravi, S.2    Birchenhall, C.R.3
  • 26
    • 84962953570 scopus 로고    scopus 로고
    • Testing for unit roots in time series with nearly deterministic seasonal variation
    • PSARADAKIS, Z. (1997) Testing for unit roots in time series with nearly deterministic seasonal variation, Econometric Reviews, 16, pp. 421-439.
    • (1997) Econometric Reviews , vol.16 , pp. 421-439
    • Psaradakis, Z.1
  • 28
    • 0000726745 scopus 로고    scopus 로고
    • Additional critical values and asymptotic representations for monthly seasonal unit root tests
    • TAYLOR, A. M. R. (1998) Additional critical values and asymptotic representations for monthly seasonal unit root tests, Journal of Time Series Analysis, 19, pp. 349-368.
    • (1998) Journal of Time Series Analysis , vol.19 , pp. 349-368
    • Taylor, A.M.R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.