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Structural breaks and seasonal integration
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Smith, Jeremy (Jeremy P.) and Otero, J.. (1997) Structural breaks and seasonal integration. Economics Letters, Volume 56 (Number 1). pp. 13-19. 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 | ||||
|---|---|---|---|---|---|
| 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 | ||||
| Identification Number: | 10.1016/S0165-1765(97)00156-0 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| URI: | http://wrap.warwick.ac.uk/id/eprint/16336 |
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