Bootstrap tests for unit roots in seasonal autoregressive models
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- Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
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- Burridge, Peter & Robert Taylor, A. M., 2004.
"Bootstrapping the HEGY seasonal unit root tests,"
Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
- Robert Taylor & Peter Burridge, 2004. "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings 125, Econometric Society.
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Keywords
Bootstrap Hypothesis testing Least-squares estimator Seasonal autoregressive model Unit roots;Statistics
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