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Persistent link: https://www.econbiz.de/10012196696
Following recent work of Franses, Hylleberg and Lee (FHL), this paper analyses the consequences of fitting a deterministic seasonal model to a quarterly time series which can be (at least approximately) described by a seasonal unit root(s) model. Besides the distribution of the coefficient of...
Persistent link: https://www.econbiz.de/10005382481
This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product we analyze also the HEGY test for the nonseasonal...
Persistent link: https://www.econbiz.de/10005119200
In this paper it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affect only the deterministic seasonal cycle - really do matter for Dickey-Fuller long-run unit root tests.
Persistent link: https://www.econbiz.de/10005619442