Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series

Summary, in English

In this paper three unit root tests that allow for a break in both the seasonal mean and linear trend of the data are proposed. The tests, which can be seen as smallsample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts.

• Författare: Joakim Westerlund; Paresh Narayan; Mauro Costantini
• Publiceringsår: 2014-06-09
• Språk: Engelska
• Publikation/Tidskrift/Serie: Communications in Statistics: Simulation and Computation
• Länkar: http://www.tandfonline.com/doi/abs/10.1080/03610918.2013.794292; http://dx.doi.org/10.1080/03610918.2013.794292
• Dokumenttyp: Artikel i tidskrift
• Förlag: Taylor & Francis
• Ämne: Economics
• Nyckelord: Seasonal unit root tests; structural breaks; linear time trend.
• Aktiv: Published
• ISBN/ISSN/Övrigt: ISSN: 0361-0918