MARC details
| 000 -LEADER |
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| fixed length control field |
02259nam a22002537a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240402123559.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240402b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 ## - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Smith Richard J |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Regression-based seasonal unit root tests |
| Statement of responsibility, etc. |
by Richard J. Smith , A.M. Robert Taylor and Tomas del Barrio Castro |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge : |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009 |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Econometric theory |
| Volume/sequential designation |
Volume 25, number 2 |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
The contribution of this paper is threefold. First, a characterization theorem of the subhypotheses comprising the seasonal unit root hypothesis is presented that provides a precise formulation of the alternative hypotheses associated with regression- based seasonal unit root tests. Second, it proposes regression-based tests for the seasonal unit root hypothesis that allow a general seasonal aspect for the data and are similar both exactly and asymptotically with respect to initial values and seasonal drift parameters. Third, limiting distribution theory is given for these statistics where, in contrast to previous papers in the literature, in doing so it is not assumed that unit roots hold at all of the zero and seasonal frequencies. This is shown to alter the large-sample null distribution theory for regression t-statistics for unit roots at the complex frequencies, but interestingly to not affect the limiting null distributions of the regression t-statistics for unit roots at the zero and Nyquist frequencies and regression F-statistics for unit roots at the complex frequencies. Our results therefore have important implications for how tests of the seasonal unit root hypothesis should be conducted in practice. Associated simulation evidence on the size and power properties of the statistics presented in this paper is given that is consonant with the predictions from the large-sample theory. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Regression analysis |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Taylor Robert |
| Relator term |
co-author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Barrio Castro Tomas del |
| Relator term |
co-author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
10.1017/S0266466608090166 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |