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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/427

Title: Seasonal unit root tests with seasonal mean shifts
Authors: Harvey, David I.
Leybourne, Stephen J.
Newbold, Paul
Keywords: seasonal unit roots
structural breaks
spurious rejections
Issue Date: 2001
Abstract: This 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.
Description: Economics Research Paper
URI: https://dspace.lboro.ac.uk/2134/427
Appears in Collections:Working Papers (Economics)

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