Testing for unit roots in time series with nearly deterministic seasonal variation

References

• Agiakloglou , C. and Newbold , P. 1992 . "Empirical Evidence on Dickey-Fuller-Type Tests," . Journal of Time Series Analysis , 13 : 471 – 483 .
   Google Scholar
• Bell , W. 1987 . "A Note on Overdifferencing and the Equivalence of Seasonal Time Series Models With Monthly Means and Models With (0,1,1)12 Seasonal Parts When . Journal of Business and Economic Statistics , 5 : 383 – 287 .
   Web of Science ®Google Scholar
• Bell , W. R. and Hillmer , S. C. 1974 . "Issues Involved with the Seasonal Adjustment of Economic Time Series", . Journal of Business and Economic Statistics , 2 : 526 – 534 .
   Google Scholar
• Berk , K. N. 1974 . "Consistent Autoregressive Spectral Estimates", . Annals of Statistics , 2 : 489 – 502 .
   Web of Science ®Google Scholar
• Bhansali , R. J. 1978 . "Linear Prediction by Autoregressive Model Fitting in the Time Domain", . Annals of Statistics , 6 : 224 – 231 .
   Web of Science ®Google Scholar
• Bhargava , A. 1978 . "On the Specification of Regression Models in Seasonal Differences", . Manuscript , 6 Department of Economics, University of Pennsylvania
   Google Scholar
• Jenkins , G. M. and Reinsel . Time Series Analysis: Forecasting and Control , New Jersey. : Prentice Hall, Englewood Cliffs .
   Google Scholar
• Canova , F. and Hansen , B. E. 1995 . Journal of Business and Economic Statistics , 13 : 237 – 252. .
   Web of Science ®Google Scholar
• Chan , N. H. 1988 . Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes . Annals of Statistics , 16 : 367 – 401. .
   Web of Science ®Google Scholar
• Choi I. Most U.S. Economic Times Series Do Not Have Unit Roots: Nelson and Plosser's Ohio State University 1990 (1982) Results Reconsidered, Manuscript, Department of Economics
   Google Scholar
• Dickey , D. A. 1979 . Distribution of the Estimators for Autoregressive Time Series With a Unit Root . Journal of the American Statistical Association , 74 : 427
   Web of Science ®Google Scholar
• Dickey , D. A. and Hasza , D. P. 1984 . Journal of the American Statistical Association , 79 : 355 – 367. .
   Web of Science ®Google Scholar
• Elliott , G. Monte Carlo Performance of Twenty Unit Root Tests , Manuscript .
   Google Scholar
• Franses , P. H. 1994 . A Multivariate Approach to Modeling Univariate Seasonal Time Series . Journal of Econometrics , 63 : 133 – 151. .
   Web of Science ®Google Scholar
• Galbraith , J. W. and Zinde-Walsh , V. 1995 . Regression Tests for a Unti Root in Processes with Moving Average Errors Manuscript Department of Economics , McGill University .
   Google Scholar
• Ghysels , E. , Lee , H. S. and 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. .
   Web of Science ®Google Scholar
• Hall , A. 1994 . Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection . Journal of Business and Economic Statistics , 12 : 461 – 470. .
   Web of Science ®Google Scholar
• Hannan , E. J. and Deistler , M. The Statistical Theory of Linear Systems , New York. : John Wiley & Sons .
   Google Scholar
• Hillmer , S. C. and Bell , W. R. Applied Time Series Analysis of Economic Data Edited by: Zellner , A. 74 – 100. . ashington, DC
   Google Scholar
• Hylleberg, , S. 1995 . Tests of Seasonal Unit Roots: General to Specific or Specific to General? . Journal of Econometrics , 69 : 5 – 25. .
   Web of Science ®Google Scholar
• Hylleberg , S. , Engle , R. F. and Granger , C. W. F. 1990 . Seasonal Integretion and Cointegration . Journal of Econometrics , 44 : 215 – 238. .
   Web of Science ®Google Scholar
• Kinderman , A. J. and Ramage , J. G. 1976 . Computer Generation of Normal Random Variables . Journal of the American Statistical Association , 71 : 893 – 896. .
   Web of Science ®Google Scholar
• Choi I. Most U.S. Economic Times Series Do Not Have Unit Roots: Nelson and Plosser's Ohio State University 1982 Results Reconsidered, Manuscript, Department of Economics
   Google Scholar
• Kunst R. M. A Likelihood-Ratio Test for Seasonal Unit Roots Research Memorandum No. 251 Institute for Advanced Studies Viennas 1988
   Google Scholar
• Prewhitened Unit Root Test", Economics Letters 145 – 153. .
   Google Scholar
• Ng , S. and Perron , P. 1995 . Unit Root Tests in ARMA Models With Data-Dependent Methods for the Selection of the Truncation Lag . Journal of the American Statistical Association , 90 : 268 – 281. .
   Web of Science ®Google Scholar
• Pantula , S. G. 1991 . Asymptotic Distributions of Unit-Root Tests When the Process is Nearly Stationary . Journal of Business and Economic Statistics , 9 : 63 – 71. .
   Web of Science ®Google Scholar
• 1996 . The Adequacy of Asymptotic Approzimations in the Near-Integrated Autoregressive Model with Dependent Errors . Journal of Econometrics , 70 : 316 – 350. .
   Google Scholar
• Saïd , S. E. and Dickey , D. A. 1984 . Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order . Biometrika , 71 : 599 – 607. .
   Web of Science ®Google Scholar
• Saïd , S. E. and Dickey , D. A. 1985 . Hypothesis Testing ini ARIMA (p,1,q) Models . Journal of the American Statistical Association , 80 : 369 – 374. .
   Web of Science ®Google Scholar
• Schwert, , G. W. 1989 . Tests for Unit Roots: a Monte Carlo Investigation . Journal of Business and Economic Statistics , 7 : 147 – 159. .
   Web of Science ®Google Scholar
• Stock , J. H. Handbook of Econometrics , Edited by: Engle , R. F. and McFadden , D. L. 2739 – 2841. . Amsterdam : Elsevier Science B.V. .
   Google Scholar
• Taylor , A. M. R. On the Practical Problems of computing Seasonal Unit Root Tests: The Case of UK Non-Durable Consumers' Expenditure , Discussion Paper in Economics No. 96/10 .
   Google Scholar