Small-sample improved seasonal unit root tests for trending and breaking series

Mauro Costantini; Paresh Narayan; Stephan Popp; Joakim Westerlund

doi:10.1080/03610918.2013.794292

Small-sample improved seasonal unit root tests for trending and breaking series

Mauro Costantini, Paresh Narayan, Stephan Popp, Joakim Westerlund

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

1 Citation (Scopus)

Abstract

In this article three unit root tests that allow for a break in both the seasonal mean and linear trend of the data are proposed. The tests, which can be seen as small-sample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts.

Original language	English
Pages (from-to)	868-877
Number of pages	10
Journal	Communications in Statistics - Simulation and Computation
Volume	44
Issue number	4
DOIs	https://doi.org/10.1080/03610918.2013.794292
Publication status	Published - 5 Apr 2015
Externally published	Yes

Keywords

Linear time trend
Seasonal unit root tests' structural breaks

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10.1080/03610918.2013.794292

Cite this

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abstract = "In this article three unit root tests that allow for a break in both the seasonal mean and linear trend of the data are proposed. The tests, which can be seen as small-sample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts.",

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AU - Narayan, Paresh

AU - Popp, Stephan

AU - Westerlund, Joakim

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N2 - In this article three unit root tests that allow for a break in both the seasonal mean and linear trend of the data are proposed. The tests, which can be seen as small-sample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts.

AB - In this article three unit root tests that allow for a break in both the seasonal mean and linear trend of the data are proposed. The tests, which can be seen as small-sample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts.

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KW - Seasonal unit root tests' structural breaks

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Small-sample improved seasonal unit root tests for trending and breaking series

Abstract

Keywords

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