Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/97428 
Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 303
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
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.
Schlagwörter: 
Seasonality
nonparametric tests
visualization
time series
JEL: 
C12
C14
C22
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
676.3 kB





Publikationen in EconStor sind urheberrechtlich geschützt.