THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS

DOI10.1081/ECR-200049141zbMath1061.62143OpenAlexW2067763843MaRDI QIDQ4678785

Antonio Montanés, Artur C. B. da Silva Lopes

Publication date: 23 May 2005

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/ecr-200049141

zbMATH Keywords

seasonalityunit rootsstructural breaksHEGY tests

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (1)

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

Uses Software

• partsm

Cites Work

• Unnamed Item
• Seasonal integration and cointegration
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Additional critical values and asymptotic representations for seasonal unit root tests
• Further evidence on breaking trend functions in macroeconomic variables
• Structural breaks and seasonal integration
• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• Testing for a unit root in variables with a double change in the mean
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Seasonal Unit Root Tests Under Structural Breaks*
• The robustness of tests for seasonal differencing to structural breaks.

This page was built for publication: THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS