Critical Values for Unit Root Tests in Seasonal Time Series PDF Download
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Author: Philip Hans Franses
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
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Book Description
Author: Philip Hans Franses
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Testing for seasonal unit roots has been discussed extensively in the literature. However, the test will be difficult if the time series has a long period, where the critical values for the test statistics are not available. We modify the seasonal unit roots test of Dickey, Hasza, and Fuller (1984) to investigate results for less typical, long period cases, and present some asymptotic normality properties. We also suggest an empirical adjustment to improve the normal approximation when the seasonal period is not sufficiently long. The basic idea is to use a double-index form for the seasonal time series with a long period, where d denotes the large lag number, so that the d "channels" will be independent for each i. By applying the Classical Central Limit Theorem for iid random variables, we can obtain the asymptotic result. The convergence is proved to be order independent with respect to m and d. An advantage of this technique is that one can make the adjustment and use a standard normal as a reference distribution instead of looking into the seasonal percentile tables when doing the seasonal unit roots test, no matter what kind of deterministic terms are included in the model as long as the number of the regressors is fixed. We also show that for an AR(p) model we still obtain the asymptotic normality of the unit root statistics.
Author: Stephen J. Leybourne
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
In this paper, we suggest a new set of regression-based statistics for testing the seasonal unit root null hypothesis. These tests are based on combining conventional Hylleberg et al. (1990)-type seasonal unit root test statistics calculated from both forward and reverse estimation of the auxiliary regression equation. We derive the asymptotic distributions of the new test statistics under the seasonal unit root null hypothesis. We provide finite sample critical values appropriate for the case of quarterly data together with asymptotic critical values, the latter appropriate for any seasonal aspect. Monte Carlo simulation of the finite-sample size and power properties of the new tests reveals that, overall, they perform rather better than extant tests of the seasonal unit root hypothesis.
Author: Halbert White
Publisher: Academic Press
ISBN: 1483294420
Category : Business & Economics
Languages : en
Pages : 241
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Book Description
This book is intended to provide a somewhat more comprehensive and unified treatment of large sample theory than has been available previously and to relate the fundamental tools of asymptotic theory directly to many of the estimators of interest to econometricians. In addition, because economic data are generated in a variety of different contexts (time series, cross sections, time series--cross sections), we pay particular attention to the similarities and differences in the techniques appropriate to each of these contexts.
Author: K. Patterson
Publisher: Springer
ISBN: 023029930X
Category : Business & Economics
Languages : en
Pages : 676
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Book Description
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
Author: Yin-Wong Cheung
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 48
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Book Description
Author: Rob J Hyndman
Publisher: OTexts
ISBN: 0987507117
Category : Business & Economics
Languages : en
Pages : 380
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Book Description
Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Author:
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ISBN:
Category :
Languages : en
Pages :
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Author: Uwe Hassler
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test, as well as an LM variant thereof, are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions and power reductions when breaks are present. Hence, a new break corrected LM test is proposed to overcome this problem. Importantly, the correction for seasonal mean shifts bears no consequence on the limiting distributions, thereby maintaining the legitimacy of canonical critical values. Moreover, although this test assumes a breakpoint a priori, it is robust in terms of misspecification of the time of the break. This asymptotic property is well reproduced in finite samples. Based on a Monte-Carlo study, our new test is compared with other procedures suggested in the literature and shown to hold superior finite sample properties.
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
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Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
