Haldrup, Niels; Montañés, Antonio; Sansó, Andreu - School of Economics and Management, University of Aarhus - 2009
sampled at a seasonal frequency and the size and power properties are discussed. We also show that the presence of periodic … Burridge and Wallis (1990), Burridge and Taylor (2001), and Franses
(1996). Periodic heteroscedasticity appears to generate …, when periodic heteroscedasticity is present the extensions of the test
to allow for this feature will be necessary to …