Unit roots tests and SARIMA models

被引：1

作者：

Barthelemy, F

Lubrano, M

机构：

[1] CTR VIEILLE CHARITE, GREQAM, F-13002 MARSEILLE, FRANCE

[2] UNIV AIX MARSEILLE 2, MARSEILLE, FRANCE

[3] CNRS, MARSEILLE, FRANCE

来源：

ECONOMICS LETTERS | 1996年 / 50卷 / 02期

关键词：

unit root tests; seasonality; SARIMA model;

D O I：

10.1016/0165-1765(95)00734-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Differencing at order 1 removes the stochastic trend, and differencing at seasonal order s removes the seasonal peaks. We propose a joint unit root test at order 1 and at order s, and tabulation for this test.

引用

页码：147 / 154

页数：8

共 5 条

[1]

Box G. E. P, 1970, TIME SERIES ANAL FOR

[2] TESTING FOR UNIT ROOTS IN SEASONAL TIME-SERIES [J].

DICKEY, DA ;

HASZA, DP ;

FULLER, WA .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1984, 79 (386) :355-367

[3] DETERMINING THE ORDER OF DIFFERENCING IN AUTOREGRESSIVE PROCESSES [J].

DICKEY, DA ;

PANTULA, SG .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1987, 5 (04) :455-461

[4] SEASONAL INTEGRATION AND COINTEGRATION [J].

HYLLEBERG, S ;

ENGLE, RF ;

GRANGER, CWJ ;

YOO, BS .

JOURNAL OF ECONOMETRICS, 1990, 44 (1-2) :215-238

[5]

OSBORN DR, 1988, OXFORD B ECON STAT, V50, P361

← 1 →