Powerful nonparametric seasonal unit root tests

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Powerful_nonparametric_seasonal_unit_root_tests.pdf (262.39 KB)

Date

2018

Authors

Eroğlu, B. A.
Göğebakan, K. Ç.
Trokić, M.

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Abstract

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.

Source Title

Economics Letters

Publisher

Elsevier B.V.

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Keywords

Fractional integration, Non-parametric, Seasonal unit roots

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http://hdl.handle.net/11693/49864

Published Version (Please cite this version)

https://doi.org/10.1016/j.econlet.2018.03.011

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Scholarly Publications - Economics

Language

English

Type

Article