The robustness of tests for seasonal differencing to structural breaks. (Q5941015)
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scientific article; zbMATH DE number 1635170
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| English | The robustness of tests for seasonal differencing to structural breaks. |
scientific article; zbMATH DE number 1635170 |
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The robustness of tests for seasonal differencing to structural breaks. (English)
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20 August 2001
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Monte Carlo simulations are used to compare the power properties of three simple tests for the seasonal differencing filter when the data contain seasonal mean shifts. Overall, the results favour the HEGY--GLN test.
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Seasonal integration
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Tests
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Structural breaks
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Monte Carlo
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0.8560165762901306
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0.8497338891029358
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0.822089433670044
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0.8212339282035828
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0.8165719509124756
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