Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes

Robert Taylor

Journal of Time Series Analysis, 2003, vol. 24, issue 5, 591-612

Abstract: This paper builds on the existing literature on tests of the null hypothesis of deterministic seasonality in a univariate time‐series process. Under the assumption of independent Gaussian errors, we derive the class of locally weighted mean most powerful invariant tests against unit roots at the zero and/or seasonal frequencies in a seasonally observed process. Representations for the limiting distributions of the proposed test statistics under sequences of local alternatives are derived, and the relationship with tests for corresponding moving average unit roots is explored. We also propose nonparametric modifications of these test statistics designed to have limit distributions which are free of nuisance parameters under weaker conditions on the errors. Our tests are shown to contain existing stationarity tests as special cases and to extend these tests in a number of useful directions.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00324

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:24:y:2003:i:5:p:591-612

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().