Testing for Unit Roots in Seasonal Time Series
Journal of the American Statistical AssociationPublished 1 June 1984
David A. Dickey, D. P. Hasza, Wayne A. Fuller
Citations186
SJR quartileQ1
SJR score4.10
SNIP3.08
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Abstract
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. Key Words: Time seriesSeasonalNonstationaryUnit root
Keywords
Agricultural and Biological Sciences