Title of article
Modified seasonal unit root test with seasonal level shifts at unknown time
Author/Authors
Stephan Popp، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
7
From page
111
To page
117
Abstract
A modified innovational outlier seasonal unit root test for non-trending quarterly data is developed which accounts for seasonal level shifts at an unknown time. The superior test properties regarding size and break date estimation accuracy of the modified approach in contrast to the conventionally used procedures are derived by Monte Carlo analysis
Keywords
Innovational outlier , Spurious rejections , Seasonal unit root tests , Structural breaks
Journal title
Economics Letters
Serial Year
2007
Journal title
Economics Letters
Record number
436333
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