erp01-5.pdf (75.52 kB)

# Seasonal unit root tests with seasonal mean shifts

preprint
posted on 19.08.2005, 09:54 by David I. Harvey, Stephen J. Leybourne, Paul Newbold
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.

• Economics

51293 bytes

2001

## Notes

Economics Research Paper

en