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Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation
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- del Barrio Castro, Tomás & Rodrigues, Paulo M.M. & Robert Taylor, A.M., 2018.
"Semi-Parametric Seasonal Unit Root Tests,"
Econometric Theory, Cambridge University Press, vol. 34(2), pages 447-476, April.
- Tomás del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2015. "Semi-Parametric Seasonal Unit Root Tests," DEA Working Papers 72, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Del Barrio Castro, T & Rodrigues, PMM & Taylor, AMR, 2015. "Semi-Parametric Seasonal Unit Root Tests," Essex Finance Centre Working Papers 16807, University of Essex, Essex Business School.
- Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
- Harvey, David I. & van Dijk, Dick, 2006. "Sample size, lag order and critical values of seasonal unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2734-2751, June.
- Olivier Darné & Claude Diebolt, 2002. "A Note on Seasonal Unit Root Tests," Quality & Quantity: International Journal of Methodology, Springer, vol. 36(3), pages 305-310, August.
- Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2007.
"Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence,"
Economics Letters, Elsevier, vol. 97(2), pages 179-184, November.
- Giulietti, Monica & Otero, Jesus & Smith, Jeremy, 2007. "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence," The Warwick Economics Research Paper Series (TWERPS) 784, University of Warwick, Department of Economics.
- Franses, Ph.H.B.F. & Paap, R., 1999. "Forecasting with periodic autoregressive time series models," Econometric Institute Research Papers EI 9927-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chambers, Marcus J. & Ercolani, Joanne S. & Taylor, A.M. Robert, 2014.
"Testing for seasonal unit roots by frequency domain regression,"
Journal of Econometrics, Elsevier, vol. 178(P2), pages 243-258.
- Marcus J. Chambers & Joanne S. Ercolani & A. M. Robert Taylor, 2010. "Testing for seasonal unit roots by frequency domain regression," Discussion Papers 10/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Julio C. Alonso & Andrés M. Arcila & Sebastián Montenegro, 2015.
"¿Estabiliza el FEPA los precios locales del azúcar?,"
Estudios Gerenciales, Universidad Icesi, issue 04, June.
- Julio C. Alonso & Andrés M. Arcila & Sebastián Montenegro, 2015. "¿Estabiliza el FEPA los precios locales del azúcar?," Icesi Economics Working Papers 14581, Universidad Icesi.
- Swanson, Norman R. & Urbach, Richard, 2015.
"Prediction and simulation using simple models characterized by nonstationarity and seasonality,"
International Review of Economics & Finance, Elsevier, vol. 40(C), pages 312-323.
- Norman Swanson & Richard Urbach, 2013. "Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality," Departmental Working Papers 201323, Rutgers University, Department of Economics.
- Mårten Löf & Johan Lyhagen, 2003.
"On seasonal error correction when the processes include different numbers of unit roots,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 377-389.
- Lyhagen, Johan & Löf, Mårten, 2000. "On seasonal error correction when the processes include different numbers of unit roots," SSE/EFI Working Paper Series in Economics and Finance 0418, Stockholm School of Economics, revised 15 Mar 2001.
- Braun, R. Anton & Evans, Charles L., 1995.
"Seasonality and equilibrium business cycle theories,"
Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 503-531, April.
- R. Anton Braun & Charles L. Evans, 1991. "Seasonality and equilibrium business cycle theories," Discussion Paper / Institute for Empirical Macroeconomics 45, Federal Reserve Bank of Minneapolis.
- R. Anton Braun & Charles L. Evans, 1994. "Seasonality and equilibrium business cycle theories," Staff Report 168, Federal Reserve Bank of Minneapolis.
- R. Anton Braun & Charles L. Evans, 1991. "Seasonality and equilibrium business cycle theories," Working Paper Series, Macroeconomic Issues 91-23, Federal Reserve Bank of Chicago.
- Krane, Spencer & Wascher, William, 1999.
"The cyclical sensitivity of seasonality in U.S. employment,"
Journal of Monetary Economics, Elsevier, vol. 44(3), pages 523-553, December.
- Spencer D. Krane & William L. Wascher, 1995. "The cyclical sensitivity of seasonality in U.S. employment," Finance and Economics Discussion Series 95-43, Board of Governors of the Federal Reserve System (U.S.).
- S. Krane & W. Wascher, 1999. "The cyclical sensitivity of seasonality in US employment," BIS Working Papers 67, Bank for International Settlements.
- Seamus McErlean & Ziping Wu & Joan Moss & Jos Ijpelaar & Andrew Doherty, 2003.
"Do EU direct payments to beef producers belong in the ‘blue box’?,"
Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(1), pages 55-73, March.
- McErlean, Seamus & Wu, Ziping & Moss, Joan E. & IJpelaar, Jos & Doherty, Andrew, 2003. "Do EU direct payments to beef producers belong in the ‘blue box’?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(1), pages 1-19.
- Castro, Tomás del Barrio & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2013.
"The Impact Of Persistent Cycles On Zero Frequency Unit Root Tests,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1289-1313, December.
- Paulo M.M. Rodrigues & Tomás del Barrio Castro, 2011. "The Impact of Persistent Cycles on Zero Frequency Unit Root Tests," Working Papers w201124, Banco de Portugal, Economics and Research Department.
- Alonso Cifuentes, Julio César & Arcila Vásquez, Andrés Mauricio & Montenegro Arana, Sebastián, 2016. "Herramientas de estabilización de los precios internos del azúcar en Colombia: ¿Funcionan?," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 86, pages 105-126, December.
- Alkhathlan, Khalid & Gately, Dermot & Javid, Muhammad, 2014. "Analysis of Saudi Arabia's behavior within OPEC and the world oil market," Energy Policy, Elsevier, vol. 64(C), pages 209-225.
- Cang, Shuang & Yu, Hongnian, 2014. "A combination selection algorithm on forecasting," European Journal of Operational Research, Elsevier, vol. 234(1), pages 127-139.
- Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2007.
"Efficient tests of the seasonal unit root hypothesis,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 548-573, December.
- Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004. "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers ECO2004/29, European University Institute.
- Paulo M.M. Rodrigues & A.M. Robert Taylor, 2006. "Efficient Tests of the Seasonal Unit Root Hypothesis," Discussion Papers 06/12, University of Nottingham, School of Economics.
- Josep LluIs Carrion-I-Silvestre & Tomas Del Barrio & Enrique Lopez-Bazo, 2004.
"Evidence on the purchasing power parity in a panel of cities,"
Applied Economics, Taylor & Francis Journals, vol. 36(9), pages 961-966.
- Tomas del Barrio & Josep Ll Carrion & Enrique Lopez-Bazo, 2003. "Evidence on the Purchasing Power Parity in Panel of Cities," ERSA conference papers ersa03p273, European Regional Science Association.
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- Burridge, Peter & Taylor, A. M. Robert, 2001. "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, vol. 104(1), pages 91-117, August.
- Kalyvitis, Sarantis C., 1997. "Evaluating the real effects of devaluation expectations in Greece under alternative policies," Economic Modelling, Elsevier, vol. 14(2), pages 215-236, April.
- Uwe Hassler & Paulo M. M. Rodrigues, 2004.
"Seasonal Unit Root Tests Under Structural Breaks,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 33-53, January.
- Hassler, Uwe & Rodrigues, Paulo M. M., 2002. "Seasonal Unit Root Tests under Structural Breaks," Darmstadt Discussion Papers in Economics 113, Darmstadt University of Technology, Department of Law and Economics.
- Hassler, Uwe & Rodrigues, Paulo M. M., 2009. "Seasonal Unit Root Tests under Structural Breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77565, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Rodrigues, Paulo M. M., 2002. "Seasonal Unit Root Tests under Structural Breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37696, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Rodrigues, Paulo M. M., 2002. "Seasonal unit root tests under structural breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18290, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Frank Reinhardt & David Giles, 2001.
"Are cigarette bans really good economic policy?,"
Applied Economics, Taylor & Francis Journals, vol. 33(11), pages 1365-1368.
- Frank S. Reinhardt & David E.A. Giles, 1999. "Are Cigarette Bans Really Good Economic Policy?," Econometrics Working Papers 9903, Department of Economics, University of Victoria.
- Ghysels, Eric & Perron, Pierre, 1996.
"The effect of linear filters on dynamic time series with structural change,"
Journal of Econometrics, Elsevier, vol. 70(1), pages 69-97, January.
- Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche 9425, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche 9425, Universite de Montreal, Departement de sciences economiques.
- Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
- Julio César Alonso Cifuentes & Andrés Mauricio Arcila Vásquez & Sebastián Montenegro Arana, 2017. "Internal price stabilization tools in the Colombian sugar market: Do they work?," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 86, pages 105-126, Enero - J.
- Castro, Tomás del Barrio & Osborn, Denise R. & Taylor, A.M. Robert, 2012.
"On Augmented Hegy Tests For Seasonal Unit Roots,"
Econometric Theory, Cambridge University Press, vol. 28(5), pages 1121-1143, October.
- Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2011. "On Augmented HEGY Tests for Seasonal Unit Roots," Economics Discussion Paper Series 1121, Economics, The University of Manchester.
- Paulo Rodrigues & Philip Hans Franses, 2005.
"A sequential approach to testing seasonal unit roots in high frequency data,"
Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(6), pages 555-569.
- Rodrigues, P.M.M. & Franses, Ph.H.B.F., 2003. "A sequential approach to testing seasonal unit roots in high frequency data," Econometric Institute Research Papers EI 2003-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
- Smith, Richard J. & Taylor, A. M. Robert, 1998.
"Additional critical values and asymptotic representations for seasonal unit root tests,"
Journal of Econometrics, Elsevier, vol. 85(2), pages 269-288, August.
- Richard Smith & Robert Taylor, "undated". "Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests," Discussion Papers 95/43, Department of Economics, University of York.
- Smith, R.J. & Taylor, R., 1995. "Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests," Cambridge Working Papers in Economics 9529, Faculty of Economics, University of Cambridge.
- A. M. Robert Taylor, 2003. "Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 591-612, September.
- Shin, Dong Wan & Oh, Man-Suk, 2000. "Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE," Statistics & Probability Letters, Elsevier, vol. 50(3), pages 207-218, November.
- Smith, Jeremy & Otero, Jesus, 1997.
"Structural breaks and seasonal integration,"
Economics Letters, Elsevier, vol. 56(1), pages 13-19, September.
- Smith, J. & Otero, J., 1995. "Structural Breaks and Seasonal Integration," The Warwick Economics Research Paper Series (TWERPS) 435, University of Warwick, Department of Economics.
- Smith, Jeremy & Otero, Jesus, 1995. "Structural Breaks and Seasonal Integration," Economic Research Papers 268653, University of Warwick - Department of Economics.
- Lee, Hahn S. & Siklos, Pierre L., 1995. "A note on the critical values for the maximum likelihood (seasonal) cointegration tests," Economics Letters, Elsevier, vol. 49(2), pages 137-145, August.
- Antonio Rubia, 2001. "Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets," Working Papers. Serie EC 2001-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Paulo Rodrigues & Denise Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 985-1004.
- Smith, Richard J. & Taylor, A.M. Robert & del Barrio Castro, Tomas, 2009.
"Regression-Based Seasonal Unit Root Tests,"
Econometric Theory, Cambridge University Press, vol. 25(2), pages 527-560, April.
- Richard J. Smith & A. M. Robert Taylor & Tomas del Barrio Castro, 2007. "Regression-based seasonal unit root tests," Discussion Papers 07/05, University of Nottingham, Granger Centre for Time Series Econometrics.
- Hans Franses, Philip & Koehler, Anne B., 1998. "A model selection strategy for time series with increasing seasonal variation," International Journal of Forecasting, Elsevier, vol. 14(3), pages 405-414, September.
- Tom�s del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2016.
"The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(1), pages 122-168, January.
- Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2012. "The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests," Economics Discussion Paper Series 1228, Economics, The University of Manchester.
- 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.
- Giuseppe Cavaliere & Anton Skrobotov & A. M. Robert Taylor, 2019.
"Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 509-532, May.
- Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016. "Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility," Working Papers wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
- Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2005.
"Testing for seasonal unit roots in heterogeneous panels,"
Economics Letters, Elsevier, vol. 86(2), pages 229-235, February.
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- Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2004. "Testing for Seasonal Unit Roots in Heterogeneous Panels," The Warwick Economics Research Paper Series (TWERPS) 695, University of Warwick, Department of Economics.
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Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
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- Gil-Alana, L A & Robinson, Peter M., 2000. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics 2051, London School of Economics and Political Science, LSE Library.
- L A Gil-Alaña & Peter M Robinson, 2000. "Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income," STICERD - Econometrics Paper Series 402, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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"Tourism in the Canary Islands: forecasting using several seasonal time series models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 621-636.
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- Stephen Leybourne & A. M. Robert Taylor, 2003. "Seasonal Unit Root Tests Based on Forward and Reverse Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 441-460, July.
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- González-Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir, 2023. "Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula," DES - Working Papers. Statistics and Econometrics. WS 37968, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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- Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 221-241.
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- repec:ebl:ecbull:v:3:y:2005:i:3:p:1-10 is not listed on IDEAS
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