Powerful nonparametric seasonal unit root tests

Burak Alparslan Eroğlu, Kemal Çağlar Göğebakan and Mirza Trokić

Economics Letters, 2018, vol. 167, issue C, 75-80

Abstract: This paper introduces a powerful nonparametric testing procedure for seasonal unit roots by utilizing the fractional integration operator. Different from the well-known seasonal unit root tests of Hylleberg et al. (1990), the proposed tests do not require any parametric specifications.

Keywords: Seasonal unit roots; Fractional integration; Non-parametric (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:167:y:2018:i:c:p:75-80

DOI: 10.1016/j.econlet.2018.03.011

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