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Persistent link: https://www.econbiz.de/10012094977
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...
Persistent link: https://www.econbiz.de/10005260743
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