Structural breaks and seasonal integration

DOI10.1016/S0165-1765(97)00156-0zbMath0895.90054OpenAlexW2042040688WikidataQ59200992 ScholiaQ59200992MaRDI QIDQ1389542

Jesus Otero, Jeremy Smith

Publication date: 30 June 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00156-0

zbMATH Keywords

unit rootsstructural breaksseasonal unit rootsHEGY

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (8)

Seasonal Unit Root Tests Under Structural Breaks* ⋮ Modified seasonal unit root test with seasonal level shifts at unknown time ⋮ Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots ⋮ The robustness of tests for seasonal differencing to structural breaks. ⋮ THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS ⋮ Deterministic versus stochastic seasonal fractional integration and structural breaks ⋮ Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information ⋮ Seasonal unit root tests with seasonal mean shifts

Cites Work

• Seasonal integration and cointegration
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Testing nested and non-nested periodically integrated autoregressive models
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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