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The Behavior Of Hegy Tests For Quarterly Time Series With Seasonal Mean Shifts

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  • Artur C. B. da Silva Lopes
  • Antonio Montanes

Abstract

This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. We analyze also the HEGY test for the nonseasonal unit root. the data generation process being trend stationary too. Our results show that when the break magnitudes are finite, the HEGY test statistics are not asymptotically biased toward the nonrejection of the seasonal and nonseasonal unit root hypotheses. However, the finite sample power properties may be substantially affected, the behavior of the tests depending on the type of the break.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 24 (2005)
Issue (Month): 1 ()
Pages: 83-108

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Handle: RePEc:taf:emetrv:v:24:y:2005:i:1:p:83-108

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Keywords: HEGY tests; Seasonality; Structural breaks; Unit roots;

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References

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Cited by:
  1. 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.
  2. Westerlund, Joakim & Costantini, Mauro & Narayan, Paresh & Popp, Stephan, 2009. "Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production," Working Papers in Economics 377, University of Gothenburg, Department of Economics.

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