Bootstrapping the HEGY seasonal unit root tests

Journal of Econometrics

Volumn 123, Issue 1, 2004, Pages 67-87

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

^a CITY UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF BIRMINGHAM   (United Kingdom)

Author keywords

Bootstrap tests; Data based lag selection; Higher order serial correlation; Periodic heteroscedasticity; Seasonal unit roots

Indexed keywords

BOOTSTRAP TESTS; DATA-BASED LAG SELECTION; HIGHER ORDER SERIAL CORRELATION; PERIODIC HETEROSCEDASTICITY; SEASONAL UNIT ROOTS;

APPROXIMATION THEORY; CORRELATION METHODS; REGRESSION ANALYSIS; STATISTICAL TESTS; TIME SERIES ANALYSIS;

FINANCIAL DATA PROCESSING;

EID: 4344704700     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2003.10.029     Document Type: Article

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