Powerful nonparametric seasonal unit root tests
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.
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Economics Letters
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Elsevier B.V.
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English