Seasonal Unit Root Tests Under Structural Breaks*

DOI10.1111/j.1467-9892.2004.00336.xzbMath1052.91073OpenAlexW3124148031MaRDI QIDQ4828169

Paulo M. M. Rodrigues, Uwe Hassler

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://econstor.eu/bitstream/10419/84842/1/ddpie_113.pdf

zbMATH Keywords

seasonal unit root testsstructural breaks

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (4)

Seasonal Unit Root Tests Under Structural Breaks* ⋮ THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS ⋮ On LM-type tests for seasonal unit roots in the presence of a break in trend ⋮ Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

Cites Work

• Seasonal integration and cointegration
• A modification of the Schmidt-Phillips unit root test
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Bayesian analysis of seasonal unit roots and seasonal mean shifts
• Structural breaks and seasonal integration
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• Testing for unit roots in time series with level shifts
• On LM type tests for seasonal unit roots in quarterly data
• Seasonal Unit Root Tests Under Structural Breaks*
• The robustness of tests for seasonal differencing to structural breaks.

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