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Seasonal Unit Root Tests with Structural Breaks in Deterministic Seasonality

โœ Scribed by Kelvin Balcombe


Book ID
108554622
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
165 KB
Volume
61
Category
Article
ISSN
0140-5543

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Bootstrap tests for unit roots in season
โœ Zacharias Psaradakis ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 101 KB

This paper proposes bootstrap tests for the presence of unit roots in a seasonal autoregressive model. The asymptotic validity of the proposed bootstrap scheme is established, and Monte Carlo experiments are used to investigate the small-sample performance of the tests.