Hassler, Uwe; Rodrigues, Paulo M. M. - In: Journal of Time Series Analysis 25 (2004) 1, pp. 33-53
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...