Testing for seasonal unit roots: simple tests and HEGY tests

This paper covers seasonal unit roots tests developed in the last 25 years. The main attention is given to HEGY test and its different modifications. Also we study some simple tests for seasonal unit roots, in particular, Dickey-Hasza-Fuller test.

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Year of publication:	2014
Authors:	Skrobotov, Anton ; Turuntseva, Marina
Published in:	Published Papers. - Russian Presidential Academy of National Economy and Public Administration (RANEPA). - 2014, March
Publisher:	Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Subject:	seasonality \| unit roots \| HEGY \| tests

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Extent:	application/pdf
Type of publication:	Article
Classification:	R00 - Urban, Rural, and Regional Economics. General ; Z0 - Other Special Topics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011265373