Seasonal unit root tests with seasonal mean shifts

DOI10.1016/S0165-1765(02)00057-5MaRDI QIDQ1607285zbMATH OpenOpenAlexFDO

Authors David I. Harvey, Stephen Leybourne, Paul Newbold

Publication date 31 July 2002

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(02)00057-5

zbMATH Keywords

Structural breaksSeasonal unit rootsSpurious rejections

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Recommendations

• Testing for Unit Roots in Seasonal Time Series
• Seasonal Unit Root Tests Under Structural Breaks*
• Unit root tests for seasonal models with deterministic trends
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
• Seasonal Unit Root Tests Based on Forward and Reverse Estimation
• Modified seasonal unit root test with seasonal level shifts at unknown time
• Seasonal unit root tests and the role of initial conditions

Cites work

• Bayesian analysis of seasonal unit roots and seasonal mean shifts
• Seasonal integration and cointegration
• Structural breaks and seasonal integration
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The robustness of tests for seasonal differencing to structural breaks.

Cited in

(12)

• Measurement errors and outliers in seasonal unit root testing
• Modified seasonal unit root test with seasonal level shifts at unknown time
• Deterministic versus stochastic seasonal fractional integration and structural breaks
• Tests for Seasonal Moving Average Unit Root in ARIMA Models
• Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series
• The robustness of tests for seasonal differencing to structural breaks.
• THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS
• SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
• Seasonal Unit Root Tests Under Structural Breaks*
• On LM-type tests for seasonal unit roots in the presence of a break in trend
• The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis
• HEGY test with mean shifts and its empirical investigation

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