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The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts

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Author Info

  • Artur C. B. da Silva Lopes

    (Instituto Superior de Economia e Gestão ISEG-UTL & CEMAPRE)

  • Antonio Montañés

    (Universidad de Zaragoza)

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. As a by-product 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 towards the non-rejection of the seasonal and nonseasonal unit root hypotheses. However, the finite sample power properties may be substancially affected, the behavior of the tests depending on the type of the break. Hence, our results are also useful to understand and to predict this behavior under several circumstances.

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File URL: http://128.118.178.162/eps/em/papers/0411/0411010.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0411010.

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Length: 27 pages
Date of creation: 14 Nov 2004
Date of revision:
Handle: RePEc:wpa:wuwpem:0411010

Note: Type of Document - pdf; pages: 27
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Web page: http://128.118.178.162

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Keywords: seasonality; unit roots; strctural breaks; HEGY tests;

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References

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Cited by:
  1. 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.
  2. 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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