The Overall F-tests for Seasonal Unit Roots under Nonstationary Alternatives: Some Theoretical Results and a Monte Carlo Investigation
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Testing Fractional Integration with Monthly Data
Financial support from ESRC grant number L116251013, Macroeconomic Modelling and Policy Analysis in a Changing Word is gratefully acknowledged. The usual disclaimer applies. Seasonal roots can help to explain the seasonal fluctuations in macroeconomic time series. In this paper we concentrate on monthly data and look at different versions of Robinson's (1994) tests for testing unit roots and ot...
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تاریخ انتشار 2017