Testing for Seasonal Unit Roots with Temporally Aggregated Time Series

The temporal aggregation effect on seasonal unit roots and its implications for seasonal unit root testing are discussed. The aggregation effect allows to test with any HEGY-type method for integration at the harmonic frequencies through the Nyquist frequency of properly temporally aggregated series

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Year of publication:	2003
Authors:	Pons, Gabriel
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Einheitswurzeltest \| Unit root test

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Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 24, 2003 erstellt
Other identifiers:	10.2139/ssrn.451382 [DOI]
Classification:	C22 - Time-Series Models ; C43 - Index Numbers and Aggregation ; C52 - Model Evaluation and Testing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014075199