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, PareshORCID iD for Narayan, Paresh
Popp, Stepan
Westerlund, JoakimORCID iD for 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
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
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