Seasonal unit root tests with seasonal mean shifts

DOI10.1016/S0165-1765(02)00057-5zbMATH Open1031.62072OpenAlexW2081049764MaRDI QIDQ1607285FDOQ1607285

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

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

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)

Cites Work

• Seasonal integration and cointegration
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Bayesian analysis of seasonal unit roots and seasonal mean shifts
• Structural breaks and seasonal integration
• 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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