Frequently, seasonal and non-seasonal data (especially macro time series) are observed with noise. For instance, the time series can have irregular abrupt changes and interruptions following as a result of additive or temporary change outliers caused by external circumstances which are...

The aim of this paper is to analyse, according to the new trade theories, the changes in the trade of Catalonia -a Spanish region- from the trade liberalisation due to the Spanish integration in the European Community. Concretely we examine if the changes in trade are predominantly of the...

This paper analyses the role of shocks in Spanish economic growth over the period 1850-1990. In the existence of a unit root, the trend is stochastic, which implies that the series has a long memory, and shocks have persistent effects. As a result, the series does not return to its former path...

In this paper we carry out a broad simulation experiment where the finite sample behaviour of two parametric seasonal unit root tests for monthly data is studied. In concrete, we analyse the performance of both the Franses (1991) and Canova and Hansesn (1995) procedures. We point out, among...

This paper analyses the presence of unit roots in some macroeconomic time series of the Spanish economy. Stochastic properties of the time series have been studied focusing on two aspects, both consistent with the possibility that there might be structural changes affecting the time series...

This paper studies the asymptotic behaviour of the Dickey-Fuller family of tests when the variable being considered exhibits a break in the seasonal pattern. We show that the Dickey-Fuller test tends to reject the unit root null hypothesis, except when the break affects all the periods in a...