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On LM‐type tests for seasonal unit roots in the presence of a break in trend

Author

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  • Luis C. Nunes
  • Paulo M. M. Rodrigues

Abstract

This paper proposes tests for seasonal unit roots allowing for the presence of a break in the trend slope occurring at an unknown date. In particular, new LM type tests are derived based on the framework introduced by Hylleberg, Engle, Granger and Yoo [HEGY] (1990). Null asymptotic distributions are derived for the no break case as well as when a break is present in the data generating process. A Monte Carlo investigation on the finite sample size and power performance of the new procedures is presented.
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Suggested Citation

  • Luis C. Nunes & Paulo M. M. Rodrigues, 2011. "On LM‐type tests for seasonal unit roots in the presence of a break in trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 108-134, March.
  • Handle: RePEc:bla:jtsera:v:32:y:2011:i:2:p:108-134
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    1. Breitung, J rg & Franses, Philip Hans, 1998. "On Phillips Perron-Type Tests For Seasonal Unit Roots," Econometric Theory, Cambridge University Press, vol. 14(02), pages 200-221, April.
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    7. Paulo M. M. Rodrigues, 2002. "On LM type tests for seasonal unit roots in quarterly data," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 176-195, June.
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    Cited by:

    1. Junsoo Lee & Mark C. Strazicich, 2013. "Minimum LM unit root test with one structural break," Economics Bulletin, AccessEcon, vol. 33(4), pages 2483-2492.

    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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