On GLS -- Detrending for Deterministic Seasonality Testing

In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suff er from asymptotic size distortions under near integration. We also investigate the behavior of the proposed tests when the initial condition is not asymptotically negligible

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Year of publication:	2013
Authors:	Skrobotov, Anton
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Kleinste-Quadrate-Methode \| Least squares method \| Zeitreihenanalyse \| Time series analysis \| Saisonkomponente \| Seasonal component \| Saisonale Schwankungen \| Seasonal variations \| Theorie \| Theory \| Einheitswurzeltest \| Unit root test \| Statistischer Test \| Statistical test

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 19, 2013 erstellt
Other identifiers:	10.2139/ssrn.2356868 [DOI]
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013072779