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- W2283060314 abstract "We extend the ${cal M}$ class of unit root tests introduced by Stock (1999, Cointegration, Causality and Forecasting. A Festschrift in Honour of Clive W.J. Granger . Oxford University Press), Perron and Ng (1996, Review of Economic Studies 63, 435–463) and Ng and Perron (2001, Econometrica 69, 1519–1554) to the seasonal case, thereby developing semi-parametric alternatives to the regression-based augmented seasonal unit root tests of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The success of this class of unit root tests to deliver good finite sample size control even in the most problematic (near-cancellation) case where the shocks contain a strong negative moving average component is shown to carry over to the seasonal case as is the superior size/power trade-off offered by these tests relative to other available tests." @default.
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- W2283060314 date "2017-04-09" @default.
- W2283060314 modified "2023-10-02" @default.
- W2283060314 title "SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS" @default.
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- W2283060314 doi "https://doi.org/10.1017/s0266466617000135" @default.
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