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Seasonal unit root tests with seasonal mean shifts
preprint
posted on 2005-08-19, 09:54 authored by David I. Harvey, Stephen J. Leybourne, Paul NewboldThis paper analyses additive outlier and innovational outlier tests for seasonal unit roots when
seasonal mean shifts occur under the null hypothesis. When the magnitude of the breaks is
large, simulation evidence reveals that, for three of the four testing procedures considered, the
endogenously determined break point can be incorrectly estimated, resulting in spurious
rejections of the null. A simple modification to one of the testing approaches is proposed
which achieves a substantial improvement in test size.
History
School
- Business and Economics
Department
- Economics
Pages
51293 bytesPublication date
2001Notes
Economics Research PaperLanguage
- en