Hassler, Uwe; Rodrigues, Paulo M. M. - Fachbereich Rechts- und Wirtschaftswissenschaften, … - 2002
In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite...
