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Seasonal unit root tests under structural breaks

Hassler, Uwe; Rodrigues, Paulo M. M. - 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...

Persistent link: https://www.econbiz.de/10011524510

Seasonal unit root tests under structural breaks

Hassler, Uwe; Rodrigues, Paolo M. M. - 2002

Persistent link: https://www.econbiz.de/10001751667

Skrobotov, Anton - 2013

In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality …. Unlike existing tests for deterministic seasonality, our tests do not suff er from asymptotic size distortions under near …

Persistent link: https://www.econbiz.de/10013072779

A combined nonparametric test for seasonal unit roots

Kunst, Robert M. - 2014

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...

Persistent link: https://www.econbiz.de/10010252130

A nonparametric test for seasonal unit roots

Kunst, Robert M. - 2009

. -- seasonality ; nonparametric test ; unit roots …

Persistent link: https://www.econbiz.de/10009735343

A nonparametric test for seasonal unit roots

Kunst, Robert M. - 2009

Persistent link: https://www.econbiz.de/10003797660

Modelling seasonality with fractionally integrated processes

Gil-Alaña, Luis A. - 2000

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...

Persistent link: https://www.econbiz.de/10009582382

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality … out at the end of the article. -- Long memory ; Deterministic seasonality ; Seasonal fractional integration …

Persistent link: https://www.econbiz.de/10009612017

Chapter 13 Forecasting Seasonal Time Series

Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - 2006

integrated models and deterministic seasonality models. As well as examining how forecasts are computed in each case, the …. Section 3 discusses less traditional models, specifically nonlinear seasonal models and models for seasonality in variance …. Such nonlinear models primarily concentrate on interactions between seasonality and the business cycle, either using a …

Persistent link: https://www.econbiz.de/10014023693

Persistence and seasonality in the US industrial production index

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2023

values) are taken, evidence of seasonality is obtained; more specifically, deterministic seasonality is rejected in favour of …

Persistent link: https://www.econbiz.de/10014427486