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Bootstrapping the HEGY seasonal unit root tests

Burridge, Peter; Robert Taylor, A. M. - In: Journal of Econometrics 123 (2004) 1, pp. 67-87

Persistent link: https://www.econbiz.de/10005192806

On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity

Burridge, Peter; Taylor, A. M. Robert - In: Journal of Econometrics 104 (2001) 1, pp. 91-117

Persistent link: https://www.econbiz.de/10005228544

Unit root tests in the presence of uncertainty about the non-stochastic trend

Ayat, Leila; Burridge, Peter - In: Journal of Econometrics 95 (2000) 1, pp. 71-96

Persistent link: https://www.econbiz.de/10005228897

Adaptive consistent unit-root tests based on autoregressive threshold model

Bec, Frederique; Guay, Alain; Guerre, Emmanuel - In: Journal of Econometrics 142 (2008) 1, pp. 94-133

Persistent link: https://www.econbiz.de/10005239003

Robust adaptive rate-optimal testing for the white noise hypothesis

Guay, Alain; Guerre, Emmanuel; Lazarová, Štěpána - In: Journal of Econometrics 176 (2013) 2, pp. 134-145

A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic selection of the order for a Box–Pierce (1970) test statistic or the test statistic of Hong (1996). The heteroskedasticity and autocorrelation-consistent (HAC) critical values from Lee (2007)...

Persistent link: https://www.econbiz.de/10011052265