UNIT ROOTS TESTS AND SARIMA MODELS

Authors
BARTHELEMY F LUBRANO M
Citation
F. Barthelemy et M. Lubrano, UNIT ROOTS TESTS AND SARIMA MODELS, Economics letters, 50(2), 1996, pp. 147-154
Citations number
5
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
50
Issue
2
Year of publication
1996
Pages
147 - 154
Database
ISI
SICI code
0165-1765(1996)50:2<147:URTASM>2.0.ZU;2-M
Abstract
Differencing at order 1 removes the stochastic trend, and differencing at seasonal order s removes the seasonal peaks. We propose a joint un it root test at order 1 and at order s, and tabulation for this test.