Powerful nonparametric seasonal unit root tests
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DOI: 10.1016/j.econlet.2018.03.011
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References listed on IDEAS
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"Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots,"
Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-21, February.
- Michael Jansson & Morten Ørregaard Nielsen, 2009. "Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots," CREATES Research Papers 2009-55, Department of Economics and Business Economics, Aarhus University.
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"Nonparametric cointegration analysis of fractional systems with unknown integration orders,"
Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
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Econometric Theory, Cambridge University Press, vol. 28(5), pages 1121-1143, October.
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Cited by:
- Kemal Çag̃lar Gög̃ebakan & Burak Alparslan Eroglu, 2022. "Non-parametric seasonal unit root tests under periodic non-stationary volatility," Computational Statistics, Springer, vol. 37(5), pages 2581-2636, November.
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More about this item
Keywords
Seasonal unit roots; Fractional integration; Non-parametric;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
Statistics
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