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

Psaradakis, Zacharias (1997) Testing for unit roots in time series with nearly deterministic seasonal variation. Econometric Reviews 16 (4), pp. 421-439. ISSN 0747-4938.

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Official URL: https://doi.org/10.1080/07474939708800397

Abstract

This paper addresses the problem of testing for the presence of unit autoregressive roots in seasonal time series with negatively correlated moving average components. For such cases, many of the commonly used tests are known to have exact sizes much higher than their nominal significance level. We propose modifications of available test procedures that are based on suitably prewhitened data and feasible generalized least squares estimators. Monte Carlo experiments show that such modifications are successful in reducing size distortions in samples of moderate size.

Metadata

Item Type:	Article
School:	School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User:	Sarah Hall
Date Deposited:	27 Jul 2020 15:28
Last Modified:	27 Jul 2020 15:28
URI:	https://eprints.bbk.ac.uk/id/eprint/32686

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