Efficient tests of the seasonal unit root hypothesis
- Author
- RODRIGUES, Paulo M. M1 ; TAYLOR, A. M. Robert2
[1] Faculty of Economics, University of Algarve, Campus de Gambelas, 8005-139 Faro, Portugal
[2] School of Economics, University of Nottingham, University Park, Nottingham NG7 2 RD, United Kingdom - Source
Journal of econometrics. 2007, Vol 141, Num 2, pp 548-573, 26 p ; ref : 1 p
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- C22 Point-optimal invariant (seasonal) unit root tests; Asymptotic local power bounds; Near-seasonal integration
- Keyword (fr)
- Analyse donnée Analyse numérique Comportement asymptotique Covariance Distribution statistique Donnée économique Econométrie Estimation erreur Estimation statistique Fonction forme Fonction répartition Loi limite Loi normale Matrice covariance Méthode Monte Carlo Méthode statistique Méthode stochastique Puissance test Racine unitaire Régression statistique Simulation Test hypothèse Test optimal Test statistique Théorie approximation 60E05 60Fxx 62E17 62E20 62F05 62Jxx 65C05 Echantillon fini Estimation paramétrique Fonction puissance Loi asymptotique Test multiple
- Keyword (en)
- Data analysis Numerical analysis Asymptotic behavior Covariance Statistical distribution Economic data Econometrics Error estimation Statistical estimation Shape function Distribution function Limit distribution Gaussian distribution Covariance matrix Monte Carlo method Statistical method Stochastic method Test power Unit root Statistical regression Simulation Hypothesis test Optimal test Statistical test Approximation theory Finite sample Power function Multiple test
- Keyword (es)
- Análisis datos Análisis numérico Comportamiento asintótico Covariancia Distribución estadística Dato económico Econometría Estimación error Estimación estadística Función forma Función distribución Ley límite Curva Gauss Matriz covariancia Método Monte Carlo Método estadístico Método estocástico Potencia test Raíz unitaria Regresión estadística Simulación Test hipótesis Test optimal Test estadístico
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01G Limit theorems
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02G Parametric inference
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02J Linear inference, regression
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 19159384
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.jeconom.2006.10.007 
https://dx.doi.org/10.1016/j.jeconom.2006.10.007
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