Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series

Joakim Westerlund; Paresh Narayan; Mauro Costantini

doi:10.1080/03610918.2013.794292

Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series

Joakim Westerlund, Paresh Narayan, Mauro Costantini

Deakin University

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

Abstract

In this paper 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 smallsample 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
Journal	Communications in Statistics: Simulation and Computation
Early online date	2014 Jun 9
DOIs	https://doi.org/10.1080/03610918.2013.794292
Publication status	Published - 2014
Externally published	Yes

Subject classification (UKÄ)

Economics

Free keywords

Seasonal unit root tests
structural breaks
linear time trend.

Access to Document

10.1080/03610918.2013.794292

http://www.tandfonline.com/doi/abs/10.1080/03610918.2013.794292

Cite this

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title = "Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series",

abstract = "In this paper 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 smallsample 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 - linear time trend.

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DO - 10.1080/03610918.2013.794292

M3 - Article

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