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Seasonal unit root tests with seasonal mean shifts

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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.

History

School

  • Business and Economics

Department

  • Economics

Pages

51293 bytes

Publication date

2001

Notes

Economics Research Paper

Language

en