The browser you are using is not supported by this website. All versions of Internet Explorer are no longer supported, either by us or Microsoft (read more here: https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Please use a modern browser to fully experience our website, such as the newest versions of Edge, Chrome, Firefox or Safari etc.

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

På svenska

Author

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.

Publishing year

2014-06-09

Language

English

Publication/Series

Communications in Statistics: Simulation and Computation

Document type

Journal article

Publisher

Taylor & Francis

Topic

  • Economics

Keywords

  • Seasonal unit root tests
  • structural breaks
  • linear time trend.

Status

Published

ISBN/ISSN/Other

  • ISSN: 0361-0918