Powerful nonparametric seasonal unit root tests

被引：6
|
作者：
Eroglu, Burak Alparslan [1 ]
Gogebakan, Kemal Caglar [2 ]
Trokic, Mirza [3 ]
机构：
[1] Istanbul Bilgi Univ, Dept Econ, Istanbul, Turkey
[2] Bilkent Univ, Dept Econ, Ankara, Turkey
[3] IHS Markit, Eviews, 4199 Campus Dr, Irvine, CA 92612 USA
来源：
ECONOMICS LETTERS | 2018年 / 167卷
关键词：
Seasonal unit roots; Fractional integration; Non-parametnc; EFFICIENT TESTS; INTEGRATION;
D O I：
10.1016/j.econlet.2018.03.011
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：75 / 80
页数：6
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