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Unit roots and seasonal unit roots in macroeconomic time series
Economics Letters, 1991Abstract Unit root tests are conducted to determine whether the unit root found in seasonal adjusted data may be due to seasonal adjustment filters typically applied by government agencies (i.e., ARIMA X-11). We find that a unit root exists in both the raw and adjusted data (except for the unemployment rate).
Hahn Shik Lee, Pierre L. Siklos
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The Fractional Unit Root Distribution
Econometrica, 1990Asymptotic distributions are derived for the ordinary least squares estimate of a first order autoregression model when the series is fractionally integrated. The fractional unit root distribution is introduced to describe the limiting distribution.
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Unit root tests in panel data: asymptotic and finite-sample properties
, 2002Andrew T. Levin, C. Lin, C. Chu
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LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOT
, 1981D. Dickey, W. Fuller
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Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks
Review of Economics and Statistics, 2003Junsoo Lee, Mark Strazicich
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