SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
Tomás del Barrio Castro,
Paulo Rodrigues and
Robert Taylor
Econometric Theory, 2018, vol. 34, issue 2, 447-476
Abstract:
We extend the ${\cal M}$ class of unit root tests introduced by Stock (1999, Cointegration, Causality and Forecasting. A Festschrift in Honour of Clive W.J. Granger. Oxford University Press), Perron and Ng (1996, Review of Economic Studies 63, 435–463) and Ng and Perron (2001, Econometrica 69, 1519–1554) to the seasonal case, thereby developing semi-parametric alternatives to the regression-based augmented seasonal unit root tests of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The success of this class of unit root tests to deliver good finite sample size control even in the most problematic (near-cancellation) case where the shocks contain a strong negative moving average component is shown to carry over to the seasonal case as is the superior size/power trade-off offered by these tests relative to other available tests.
Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)
Related works:
Working Paper: Semi-Parametric Seasonal Unit Root Tests (2015) 
Working Paper: Semi-Parametric Seasonal Unit Root Tests (2015) 
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:cup:etheor:v:34:y:2018:i:02:p:447-476_00
Access Statistics for this article
More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().