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The performance of lag selection and detrending methods for HEGY seasonal unit root tests

Barrio Castro, Tomás del; Osborn, Denise R.; Taylor, Robert - In: Econometric reviews 35 (2016) 1/4, pp. 122-168

Persistent link: https://www.econbiz.de/10011549897

HEGY Tests in the Presence of Moving Averages

Castro, Tomás Del Barrio; Osborn, Denise R. - In: Oxford Bulletin of Economics and Statistics 73 (2011) 5, pp. 691-704

Persistent link: https://www.econbiz.de/10011031994

Non‐parametric testing for seasonally and periodically integrated processes

Castro, Tomás del Barrio; Osborn, Denise R. - In: Journal of Time Series Analysis 33 (2012) 3, pp. 424-437

Persistent link: https://www.econbiz.de/10011036619

On cointegration for processes integrated at different frequencies

del Barrio Castro, Tomás; Cubadda, Gianluca; Osborn, … - In: Journal of Time Series Analysis 43 (2021) 3, pp. 412-435

Persistent link: https://www.econbiz.de/10012636180

Nonparametric tests for periodic integration

Barrio Castro, Tomás del; Osborn, Denise R. - In: Journal of time series econometrics 3 (2011) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10010029878

Nonparametric tests for periodic integration

Barrio Castro, Tomás del; Osborn, Denise R. - In: Journal of time series econometrics 3 (2011) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10009623244

Semi-parametric seasonal unit root tests

Barrio Castro, Tomás del; Rodrigues, Paulo M. M.; … - In: Econometric theory 34 (2018) 2, pp. 447-476

Persistent link: https://www.econbiz.de/10011950979

Testing for deterministic seasonality in mixed-frequency VARs

Barrio Castro, Tomás del; Hecq, Alain W. J. - In: Economics letters 149 (2016), pp. 20-24

Persistent link: https://www.econbiz.de/10011620030

Testing for periodic integration with a changing mean

Barrio Castro, Tomás del; Camarero Olivas, Mariam; … - In: Computational economics 54 (2019) 1, pp. 45-75

Persistent link: https://www.econbiz.de/10012134081

On Robust Trend Function Hypothesis Testing

Harvey, David I; Leybourne, Stephen J; Taylor, A.M. Robert - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 1

In this paper we build upon the robust procedures proposed in Vogelsang (1998) for testing hypotheses concerning the deterministic trend function of a univariate time series. Vogelsang proposes statistics formed from taking the product of a (normalised) Wald statistic for the trend function...

Persistent link: https://www.econbiz.de/10014620952