Westerlund, Joakim () (Department of Economics, School of Business, Economics and Law, Göteborg University) Costantini, Mauro (University of Vienna) Narayan, Paresh (Deakin University) Popp, Stephan (University of Duisburg–Essen)
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Some unit root testing situations are more difficult than others. In the case of quarterly industrial production there is not only the seasonal variation that needs to be considered but also the occasionally breaking linear trend. In the current paper we take this as our starting point to develop three new seasonal unit root tests that allow for a break in both the seasonal mean and linear trend of a quarterly time series. The asymptotic properties of the tests are derived and investigated in small-samples using simulations. In the empirical part of the paper we consider as an example the industrial production of 13 European countries. The results suggest that for most of the series there is evidence of stationary seasonality around an otherwise nonseasonal unit root.
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Paper provided by Göteborg University, Department of Economics in its series Working Papers in Economics with number
377.
Length: 31 pages Date of creation: 11 Sep 2009 Date of revision: Handle: RePEc:hhs:gunwpe:0377
Contact details of provider: Postal: Department of Economics, School of Business, Economics and Law, Göteborg University Box 640, SE 405 30 GÖTEBORG, Sweden Phone: 031-773 10 00 Web page: http://www.handels.gu.se/econ/ More information through EDIRC
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