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
Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series / Costantini, M; Narayan, P K; Popp, S; Westerlund, J. - In: COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION. - ISSN 0361-0918. - 44:(2015), pp. 868-877. [10.1080/03610918.2013.794292]
Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series
COSTANTINI M;
2015
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 counterpartsFile allegati a questo prodotto
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