Powerful nonparametric seasonal unit root tests
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Dosyalar
Tarih
2018-06
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
ELSEVIER SCIENCE SA
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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. (C) 2018 Elsevier B.V. All rights reserved.
Açıklama
Anahtar Kelimeler
Seasonal unit roots, Fractional integration, Non-parametnc
Kaynak
ECONOMICS LETTERS
WoS Q Değeri
Q2
