Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment.

This paper is concerned with tests for seasonal unit roots in a univariate time series process. We construct test statistics which are similar, both exactly and asymptotically, with respect to both the initial values of the process and the possibility of differential seasonal dirft under the null hypothsis of a seasonal unit root.

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Year of publication:	1999
Authors:	Taylor, A.M.R.
Institutions:	Department of Economics, University of Birmingham
Subject:	UNIT ROOTS \| TESTS

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	25 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005357601