Testing for Unit Roots in Seasonal Time Series
- 1 June 1984
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 79 (386) , 355
- https://doi.org/10.2307/2288276
Abstract
Regression estimators of coefficients in seasonal autoregressive models are described. The percentiles of the distributions for time series that have unit roots at the seasonal lag are computed by Monte Carlo integration for finite samples and by analytic techniques and Monte Carlo integration for the limit case. The tabled distributions may be used to test the hypothesis that a time series has a seasonal unit root.Keywords
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