Powerful nonparametric seasonal unit root tests
Date
2018
Authors
Eroğlu, B. A.
Göğebakan, K. Ç.
Trokić, M.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Economics Letters
Print ISSN
0165-1765
Electronic ISSN
1873-7374
Publisher
Elsevier B.V.
Volume
167
Issue
Pages
75 - 80
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Series
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.