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

Costantini, Mauro, Narayan, Paresh, Popp, Stepan and Westerlund, Joakim 2015, Small-sample improved seasonal unit root tests for trending and breaking series, Communications in statistics: simulation and computation, vol. 44, no. 4, pp. 868-877, doi: 10.1080/03610918.2013.794292.

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Title Small-sample improved seasonal unit root tests for trending and breaking series
Author(s) Costantini, Mauro
Narayan, Paresh
Popp, Stepan
Westerlund, Joakim
Journal name Communications in statistics: simulation and computation
Volume number 44
Issue number 4
Start page 868
End page 877
Total pages 12
Publisher Taylor and Francis
Place of publication Abingdon, Eng.
Publication date 2015
ISSN 0361-0918
1532-4141
Keyword(s) linear time trend
seasonal unit root tests' structural breaks
Summary 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.
Language eng
DOI 10.1080/03610918.2013.794292
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Taylor and Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30070271

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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