Modified seasonal unit root test with seasonal level shifts at unknown time

DOI10.1016/j.econlet.2007.02.026zbMath1255.91369OpenAlexW1998749383MaRDI QIDQ1934161

Stephan Popp

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.02.026

zbMATH Keywords

seasonal unit root testsstructural breaksinnovational outlierspurious rejections

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series

Cites Work

• Seasonal integration and cointegration
• Structural breaks and seasonal integration
• Seasonal unit root tests with seasonal mean shifts
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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