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Structural breaks and seasonal integration

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Smith, Jeremy and Otero, J. (1997) Structural breaks and seasonal integration. Economics Letters, Volume 56 (Number 1). pp. 13-19. doi:10.1016/S0165-1765(97)00156-0

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Official URL: http://dx.doi.org/10.1016/S0165-1765(97)00156-0

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Abstract

We examine the effects of exogenous changes in the level or seasonal pattern of a series on the HEGY test. These changes bias both unit root and seasonal root tests. New critical Values for the HEGY tests are presented. (C) 1997 Elsevier Science S.A.

Item Type: Journal Article
Subjects: H Social Sciences > HC Economic History and Conditions
Divisions: Faculty of Social Sciences > Economics
Journal or Publication Title: Economics Letters
Publisher: Elsevier
ISSN: 0165-1765
Official Date: 1997
Dates:
DateEvent
1997UNSPECIFIED
Volume: Volume 56
Number: Number 1
Number of Pages: 7
Page Range: pp. 13-19
DOI: 10.1016/S0165-1765(97)00156-0
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Data sourced from Thomson Reuters' Web of Knowledge

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