Seasonal Unit Root Tests Under Structural Breaks*

DOI10.1111/J.1467-9892.2004.00336.XMaRDI QIDQ4828169zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

seasonal unit root testsstructural breaks

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• Seasonal unit root tests with seasonal mean shifts
• Structural breaks and seasonal integration
• scientific article; zbMATH DE number 1963497
• 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

• A modification of the Schmidt-Phillips unit root test
• Bayesian analysis of seasonal unit roots and seasonal mean shifts
• On LM type tests for seasonal unit roots in quarterly data
• Seasonal integration and cointegration
• Seasonal Unit Root Tests Under Structural Breaks*
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• 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
• The robustness of tests for seasonal differencing to structural breaks.

Cited in

(18)

• F-test for seasonal differencing with a break-point
• Structural breaks and seasonal integration
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• Seasonal unit root tests with seasonal mean shifts
• Modified seasonal unit root test with seasonal level shifts at unknown time
• Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information
• A NOTE ON BUSETTI-HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
• HEGY test with mean shifts and its empirical investigation
• TESTS FOR SEASONAL DIFFERENCING WITH AN UNKNOWN BREAK‐POINT
• scientific article; zbMATH DE number 1963497 (Why is no real title available?)
• SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
• 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
• Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series
• Detecting seasonal unit roots in a structural time series model
• The robustness of tests for seasonal differencing to structural breaks.
• Deterministic versus stochastic seasonal fractional integration and structural breaks

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