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基于回归的季节性单位根检验AI 解读

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…

周期整合自回归过程中的季节单位根检验AI 解读

This paper examines the implications of applying the Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238) (HEGY) seasonal root tests to a process that is periodically integrated. As an important special case, the random walk process is also considered, where the zero-frequency unit root t -statistic is shown to converge to the Dickey–Fuller distribution and all seasonal unit root statistics diverge. For periodically integrated processes and a…