000			02259nam a22002537a 4500
003			ZW-GwMSU
005			20240402123559.0
008			240402b |||||||| |||| 00| 0 eng d
040			_aMSU _bEnglish _cMSU _erda
050			_aHB139.T52 ECO
100	1		_aSmith Richard J _eauthor
245	1	0	_aRegression-based seasonal unit root tests _cby Richard J. Smith , A.M. Robert Taylor and Tomas del Barrio Castro
264	1		_aCambridge : _bCambridge University Press, _c2009
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aEconometric theory _vVolume 25, number 2
520			_aThe 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			_aRegression analysis
700	1		_aTaylor Robert _eco-author
700	1		_aBarrio Castro Tomas del _eco-author
856			_u10.1017/S0266466608090166
942			_2lcc _cJA
999			_c164606 _d164606