The robustness of tests for seasonal differencing to structural breaks.

DOI10.1016/S0165-1765(01)00383-4zbMath1079.91564OpenAlexW3124990399MaRDI QIDQ5941015

Artur C. B. da Silva Lopes

Publication date: 20 August 2001

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00383-4

zbMATH Keywords

Monte CarloSeasonal integrationStructural breaksTests

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (5)

Seasonal Unit Root Tests Under Structural Breaks* ⋮ THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS ⋮ Deterministic versus stochastic seasonal fractional integration and structural breaks ⋮ Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information ⋮ Seasonal unit root tests with seasonal mean shifts

Cites Work

• Seasonal integration and cointegration
• Spurious deterministic seasonality
• Structural breaks and seasonal integration
• Tests for seasonal unit roots. General to specific or specific to general?
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Performance of seasonal unit root tests for monthly data
• Testing for Unit Roots in Seasonal Time Series

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