Seasonal unit root tests with seasonal mean shifts

DOI10.1016/S0165-1765(02)00057-5zbMath1031.62072OpenAlexW2081049764MaRDI QIDQ1607285

David I. Harvey, Paul Newbold, Stephen J. Leybourne

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

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

Related Items (4)

Modified seasonal unit root test with seasonal level shifts at unknown time ⋮ Deterministic versus stochastic seasonal fractional integration and structural breaks ⋮ On LM-type tests for seasonal unit roots in the presence of a break in trend ⋮ Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series

Cites Work

• Seasonal integration and cointegration
• Bayesian analysis of seasonal unit roots and seasonal mean shifts
• 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.

This page was built for publication: Seasonal unit root tests with seasonal mean shifts