@article{RSA_2002__50_2_71_0,
author = {Darn\'e, Olivier and Litago, Javier and Terraza, Michel},
title = {Tests de racines unitaires saisonni\`eres pour des donn\'ees journali\`eres},
journal = {Revue de Statistique Appliqu\'ee},
pages = {71--91},
year = {2002},
publisher = {Soci\'et\'e fran\c{c}aise de statistique},
volume = {50},
number = {2},
language = {fr},
url = {https://www.numdam.org/item/RSA_2002__50_2_71_0/}
}
TY - JOUR AU - Darné, Olivier AU - Litago, Javier AU - Terraza, Michel TI - Tests de racines unitaires saisonnières pour des données journalières JO - Revue de Statistique Appliquée PY - 2002 SP - 71 EP - 91 VL - 50 IS - 2 PB - Société française de statistique UR - https://www.numdam.org/item/RSA_2002__50_2_71_0/ LA - fr ID - RSA_2002__50_2_71_0 ER -
%0 Journal Article %A Darné, Olivier %A Litago, Javier %A Terraza, Michel %T Tests de racines unitaires saisonnières pour des données journalières %J Revue de Statistique Appliquée %D 2002 %P 71-91 %V 50 %N 2 %I Société française de statistique %U https://www.numdam.org/item/RSA_2002__50_2_71_0/ %G fr %F RSA_2002__50_2_71_0
Darné, Olivier; Litago, Javier; Terraza, Michel. Tests de racines unitaires saisonnières pour des données journalières. Revue de Statistique Appliquée, Tome 50 (2002) no. 2, pp. 71-91. https://www.numdam.org/item/RSA_2002__50_2_71_0/
(1994), « Deterministic seasonal models and spurious regressions », Journal of Econometrics, 61, 259- 272.
, , ET (1996), « Stochastic seasonality and daily financial time series », Discussion Papers in Economics and Econometrics Series No. 9602, Department of Economics, University of Southampton.
, , , (1999), «Tests for stochastic seasonality applied to daily financial time series », The Manchester School, 67, 39- 59.
ET (1993), «Seasonal unit roots in aggregate U.S. data », Journal of Econometrics, 55, 305-328. | Zbl | MR
ET (1970), Time Series Analysis, Forecasting and Control, San Francisco: Holden-Day. | Zbl | MR
(1996), « Contraste de raices unitarias en datos semanales », Estadistica Española, 38 (141), 139-159.
(1998), « A locally optimal seasonal unit-root test », Journal of Business and Economic Statistics, 16, 349- 356. | MR
ET (1995), « Are seasonal patterns constant over time? A test for seasonal stability », Journal of Business and Economic Statistics, 13, 237-252.
ET (1997), « An empirical study of seasonal unit roots in forecasting », International Journal of Forecasting, 13, 341- 355.
, ET (1999), «Tests de racines unitaires saisonnières de périodicité impaire», Document de Travail du LAMETA, Faculté des Sciences Economiques, Université de Montpellier I.
(1993), «Discussion : Seasonal unit root in aggregate U.S. data», Journal of Econometrics, 55, 329-331. | MR
, ET (1984), « Testing for unit roots in seasonal time series », Journal of American Statistical Association, 79, 355- 367. | Zbl | MR
ET (1999), «Testing for unit roots in semi-annual data», Econometrics Working Paper EWP 9912, Department of Economics, University of Victoria.
(1991), « Seasonality, non-stationary and the forecasting of monthly time series », International Journal of Forecasting, 7, 199 -208.
ET (1997), « Critical values for unit root tests in seasonal time series », Journal of Applied Statistics, 24, 25- 47. | MR
, ET (1994), « Testing for unit roots in seasonal time series : Some theorical extensions and a Monte Carlo investigation », Journal of Econometrics, 62, 415-442.
ET (1982), «Testing for nonstationary parameter specifications in seasonal time series models », Annals of Statistics, 10, 1209- 1216. | Zbl | MR
, , ET (1990), «Seasonal integration and cointegration », Journal of Econometrics, 44, 215-238. | Zbl | MR
(1997), «Testing for cyclical non-stationarity in autoregressive models», Journal of Time Series Analysis, 18, 123- 135. | Zbl | MR
ET (1995), « Tests de racines unitaires pour chroniques saisonnières», Document de Travail du LAMETA, Faculté de Sciences Economiques, Université de Montpellier I.
ET (1999), «Asymptotic distributions of seasonal unit root tests : A unifying approach», Discussion Paper Series No. 9904, School of Economic Studies, University of Manchester.
, , ET (1988), « Seasonality and the order of integration for consumption », Oxford Bulletin of Economics and Statistics, 50, 361-377.
, ET (1999), «Seasonal unit roots and forecasts of two-digit European industrial production », International Journal of Forecasting, 15, 27-47.
ET (1990), « Seasonal unit-root on Canadian macroeconomic time series », Economics Letters, 34, 117-120.
ET (1998), « Additional critical values and asymptotic representations for seasonal unit root tests », Journal of Econometrics, 85, 269- 288. | Zbl | MR
ET (1999a), « Likelihood ratio tests for seasonal unit roots », Journal of Time Series Analysis, 4, 100-121. | Zbl
ET (1999b), «Regression-based seasonal unit root tests », Discussion Paper 99-15, Department of Economics, The University of Birmingham.
ET (1997), «Tests for seasonal moving average unit root in ARIMA models », Journal of the American Statistical Association, 92, 725 -738. | Zbl | MR
(1997), « On the pratical problems of computing seasonal unit root tests », International Journal of Forecasting, 13, 307- 318.
(1998), «Testing for unit roots in monthly time series », Journal of Time Series Analysis, 19, 349-368. | Zbl | MR






