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

Luis C. Nunes; Paulo M.M. Rodrigues

doi:10.1111/j.1467-9892.2010.00687.x

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

Luis C. Nunes, Paulo M.M. Rodrigues

NOVA School of Business and Economics (NOVA SBE)

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	108-134
Number of pages	27
Journal	Journal Of Time Series Analysis
Volume	32
Issue number	2
DOIs	https://doi.org/10.1111/j.1467-9892.2010.00687.x
Publication status	Published - 1 Mar 2011

Keywords

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

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10.1111/j.1467-9892.2010.00687.x

Cite this

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KW - Structural change

KW - Trend breaks

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

Abstract

Keywords

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