Arbeitspapier
A combined nonparametric test for seasonal unit roots
Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination exploits two main characteristics of seasonal unit-root models, the range expansion typical of integrated processes and the low frequency of changes among main seasonal shapes. The combination succeeds in achieving power gains over the component tests. Simulations explore the finite-sample behavior relative to traditional parametric tests.
- Language
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Englisch
- Bibliographic citation
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Series: Reihe Ökonomie / Economics Series ; No. 303
- Classification
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Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
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Seasonality
nonparametric tests
visualization
time series
- Event
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Geistige Schöpfung
- (who)
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Kunst, Robert M.
- Event
-
Veröffentlichung
- (who)
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Institute for Advanced Studies (IHS)
- (where)
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Vienna
- (when)
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2014
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kunst, Robert M.
- Institute for Advanced Studies (IHS)
Time of origin
- 2014
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