Seasonal Unit Root Tests Under Structural Breaks*
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Publication:4828169
DOI10.1111/j.1467-9892.2004.00336.xzbMath1052.91073MaRDI QIDQ4828169
Paulo M. M. Rodrigues, Uwe Hassler
Publication date: 24 November 2004
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://econstor.eu/bitstream/10419/84842/1/ddpie_113.pdf
91B84: Economic time series analysis
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THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS, Seasonal Unit Root Tests Under Structural Breaks*, On LM-type tests for seasonal unit roots in the presence of a break in trend, Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information
Cites Work
- Seasonal integration and cointegration
- A modification of the Schmidt-Phillips unit root test
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Bayesian analysis of seasonal unit roots and seasonal mean shifts
- Structural breaks and seasonal integration
- Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
- Testing for unit roots in time series with level shifts
- On LM type tests for seasonal unit roots in quarterly data
- Seasonal Unit Root Tests Under Structural Breaks*
- The robustness of tests for seasonal differencing to structural breaks.
