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

页码：75 / 80

页数：6

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