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ON PHILLIPS–PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS
| Content Provider | Scilit |
|---|---|
| Author | Breitung, Jörg Franses, Philip Hans |
| Copyright Year | 1998 |
| Description | In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range (0,π]. Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al. (1990). On the other hand, the semiparametric version suffers from severe size distortions in some situations. |
| Related Links | https://repub.eur.nl/pub/2139/eur_franses_ET10.pdf https://core.ac.uk/download/pdf/18516464.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/879E5F5DE91AB34A16E60F02BB1CF662/S0266466698142032a.pdf/div-class-title-on-phillips-perron-type-tests-for-seasonal-unit-roots-div.pdf |
| Ending Page | 221 |
| Page Count | 22 |
| Starting Page | 200 |
| ISSN | 02664666 |
| e-ISSN | 14694360 |
| DOI | 10.1017/s0266466698142032 |
| Journal | Econometric Theory |
| Issue Number | 2 |
| Volume Number | 14 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 1998-04-01 |
| Access Restriction | Open |
| Subject Keyword | Econometric Theory Statistics and Probability Monte Carlo Simulations Asymptotic Theory Unit Root Monte Carlo Simulation |
| Content Type | Text |
| Resource Type | Article |
| Subject | Social Sciences Economics and Econometrics |
