235
Views
14
CrossRef citations to date
0
Altmetric
Original Articles

The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests

, &

REFERENCES

  • Beaulieu , J. J. , Miron , J. A. ( 1993 ). Seasonal unit roots in aggregate U.S. data . Journal of Econometrics 55 : 305 – 328 .
  • Burridge , P. , Wallis , K. F. ( 1984 ). Unobserved-component models for seasonal adjustment filters . Journal of Business and Economic Statistics 2 : 350 – 359 .
  • Chang , Y. , Park , J. Y. ( 2002 ). On the asymptotics of ADF tests for unit roots . Econometric Reviews 21 : 431 – 447 .
  • Cleveland , W. P. , Tiao , G. C. ( 1976 ). Decomposition of seasonal time series: A model for the Census X-11 program . Journal of the American Statistical Association 71 : 581 – 587 .
  • del Barrio Castro , T. , Osborn , D. R. ( 2012 ). Non-parametric testing for seasonally and periodically integrated processes . Journal of Time Series Analysis 33 : 424 – 437 .
  • del Barrio Castro , T. , Osborn , D. R. , Taylor , A. M. R. ( 2012 ). On augmented HEGY tests for seasonal unit roots . Econometric Theory 28 : 1121 – 1143 .
  • Elliott , G. , Rothenberg , T. J. , Stock , J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica 64:813–836.
  • Ghysels , E. , Lee , H. S. , Noh , J. ( 1994 ). Testing for unit roots in seasonal time series: some theoretical extensions and a Monte Carlo investigation . Journal of Econometrics 62 : 415 – 442 .
  • Gregoir , S. ( 2006 ). Efficient tests for the presence of a pair of complex conjugate unit roots in real time series . Journal of Econometrics 130 : 45 – 100 .
  • Hall , A. R. ( 1994 ). Testing for a unit root in time series with pretest data-based model selection . Journal of Business and Economic Statistics 12 : 461 – 70 .
  • Hylleberg , S. , Engle , R. F. , Granger , C. W. J. , Yoo , B. S. ( 1990 ). Seasonal integration and cointegration . Journal of Econometrics 44 : 215 – 238 .
  • Ng , S. , Perron , P. ( 1995 ). Unit root tests in ARMA models with data dependent methods for selection of the truncation lag . Journal of the American Statistical Association 90 : 268 – 281 .
  • Ng , S. , Perron , P. ( 2001 ). Lag length selection and the construction of unit root tests with good size and power . Econometrica 69 : 1519 – 1554 .
  • Perron , P. , Qu , Z. ( 2007 ). A simple modification to improve the finite sample properties of Ng and Perron's unit root tests . Economics Letters 94 : 12 – 19 .
  • Rodrigues , P. M. M. , Taylor , A. M. R. ( 2004 ). Alternative estimators and unit root tests for seasonal autoregressive processes . Journal of Econometrics 120 : 35 – 73 .
  • Rodrigues , P. M. M. , Taylor , A. M. R. ( 2007 ). Efficient tests of the seasonal unit root hypothesis . Journal of Econometrics 141 : 548 – 573 .
  • Schwert , G. ( 1989 ). Testing for unit roots: A Monte Carlo investigation . Journal of Business and Economic Statistics 7 : 147 – 158 .
  • Smith , R. J. , Taylor , A. M. R. ( 1998 ). Additional critical values and asymptotic representations for seasonal unit root tests . Journal of Econometrics 85 : 269 – 288 .
  • Smith , R. J. , Taylor , A. M. R. ( 1999 ). Likelihood ratio tests for seasonal unit roots . Journal of Time Series Analysis 20 : 453 – 476 .
  • Smith , R. J. , Taylor , A. M. R. , del Barrio Castro , T. ( 2009 ). Regression-based seasonal unit root tests . Econometric Theory 25 : 527 – 560 .
  • Taylor , A. M. R. ( 1997 ). On the practical problems of computing seasonal unit root tests . International Journal of Forecasting 13 : 307 – 318 .
  • Color versions of one or more of the figures in the article can be found online at www.tandfonline.com/lecr.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.