On LM-type tests for seasonal unit roots in the presence of a break in trend

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3 Citations (Scopus)

Abstract

This article proposes tests for seasonal unit roots allowing for the presence of a break in the trend slope occurring at an unknown date. In particular, new LM-type tests are derived based on the framework introduced by Hylleberg et al. (1990). Null asymptotic distributions are derived for the no break case as well as when a break is present in the data-generating process and a Monte Carlo investigation on the finite sample size and power performance of the new procedures is presented.

Original languageEnglish
Pages (from-to)108-134
Number of pages27
JournalJournal Of Time Series Analysis
Volume32
Issue number2
DOIs
Publication statusPublished - 1 Mar 2011

Keywords

  • LM-type unit root tests
  • Seasonal unit roots
  • Structural change
  • Trend breaks

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