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Structural Breaks and Seasonal Integration

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Author Info
Smith, J.
Otero, J.

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Abstract

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Download Info
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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 435.

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Length: 24 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:wrk:warwec:435

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Related research
Keywords: UNIT ROOTS; TESTS;

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  1. P.H. Franses & D. Van Dijk, 2001. "The Forecasting Performance of Various Models for Seasonality and Nonlinearity for Quarterly Industrial Production," Econometric Institute Report 222, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  2. Artur C. B. da Silva Lopes & Antonio Montañés, 2004. "The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts," Econometrics 0411010, EconWPA. [Downloadable!]
  3. Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(2), pages 191-209, 03. [Downloadable!] (restricted)
  4. Clements, M.P. & Smith, J., 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 487, University of Warwick, Department of Economics. [Downloadable!]
    Other versions:
  5. Uwe Hassler & Paulo M. M. Rodrigues, 2002. "Seasonal Unit Root Tests under Structural Breaks," Darmstadt Discussion Papers in Economics 113, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    Other versions:
  6. 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. [Downloadable!]
  7. Harvey, David I. & Leybourne, Stephen J. & Newbold, Paul, 2002. "Seasonal unit root tests with seasonal mean shifts," Economics Letters, Elsevier, vol. 76(2), pages 295-302, July. [Downloadable!] (restricted)
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This page was last updated on 2009-11-25.


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