Efficient tests for the presence of a pair of complex conjugate unit roots in real time series

We introduce a framework which allows us to draw a clear parallel between the test for the presence of seasonal unit roots and that for unit root at frequency 0 (or π ). It relies on the properties of the complex conjugate integrated of order one processes which are implicitly at work in the real ti...

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Bibliographic details
Volume: 130
Main Author: Gregoir, Stéphane
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: LAUSANNE Elsevier B.V 2006
ELSEVIER SCIENCE SA
Elsevier
Elsevier Science Publishers
published in: Journal of econometrics Vol. 130; no. 1; pp. 45 - 100
Data of publication: 2006
ISSN: 0304-4076
1872-6895
EISSN: 1872-6895
Discipline: Economics
Statistics
Mathematics
Series: Journal of Econometrics
Subjects:
C22
C12
Online Access: available in Bonn?
CODEN: JECMB6
Database: Web of Knowledge
Science Citation Index Expanded
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Web of Science
Web of Science - Science Citation Index Expanded - 2006
Web of Science - Social Sciences Citation Index - 2006
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