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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 ISSN 0165-1765.
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Official URL: http://dx.doi.org/10.1016/S0165-1765(97)00156-0
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 | ||||
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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: |
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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 |
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