Modified seasonal unit root test with seasonal level shifts at unknown time

被引：6

作者：

Popp, Stephan ^{[1
]}

机构：

[1] Univ Duisburg Essen, Dept Econ, D-45117 Essen, Germany

来源：

ECONOMICS LETTERS | 2007年 / 97卷 / 02期

关键词：

seasonal unit root tests; structural breaks; innovational outlier; spurious rejections;

D O I：

10.1016/j.econlet.2007.02.026

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A modified innovational outlier seasonal unit root test for non-trending quarterly data is developed which accounts for seasonal level shifts at an unknown time. The superior test properties regarding size and break date estimation accuracy of the modified approach in contrast to the conventionally used procedures are derived by Monte Carlo analysis. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：111 / 117

页数：7

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