Seasonal unit root tests with seasonal mean shifts (Q1607285): Difference between revisions
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Property / cites work: Bayesian analysis of seasonal unit roots and seasonal mean shifts / rank | |||
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Property / cites work: Seasonal integration and cointegration / rank | |||
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Property / cites work: The robustness of tests for seasonal differencing to structural breaks. / rank | |||
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Property / cites work: The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis / rank | |||
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Property / cites work: Structural breaks and seasonal integration / rank | |||
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Revision as of 12:17, 4 June 2024
scientific article
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English | Seasonal unit root tests with seasonal mean shifts |
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Seasonal unit root tests with seasonal mean shifts (English)
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31 July 2002
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This paper analyses additive outlier and innovational outlier tests for seasonal unit roots when seasonal mean shifts occur under the null hypothesis. When the magnitude of the breaks is large, simulation evidence reveals that, for three of the four testing procedures considered, the endogenously determined break point can be incorrectly estimated, resulting in spurious rejections of the null. A simple modification to one of the testing approaches is proposed which achieves a substantial improvement in test size.
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Seasonal unit roots
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Structural breaks
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Spurious rejections
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