Seasonal Unit Root Tests with Structural Breaks in Deterministic Seasonality
AbstractThe seasonal root tests of Hylleberg et al (1990) are extended using the sequential approach of Zivot and Andrews (1992). This paper presents Monte Carlo evidence to support a sequential approach to estimation and critical values are estimated. It is demonstrated that non-stationary data with structurally unstable deterministic seasonality can lead to low power in standard tests for seasonal roots. The sequential tests are applied to US agricultural price data and macroeconomic data and compared with the standard tests. Seasonal roots are rejected in all series. Copyright 1999 by Blackwell Publishing Ltd
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.
Volume (Year): 61 (1999)
Issue (Month): 4 (November)
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- Artur C. B. da Silva Lopes & Antonio Montanes, 2005.
"The Behavior Of Hegy Tests For Quarterly Time Series With Seasonal Mean Shifts,"
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- B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006.
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