Deakin University
Browse

File(s) under permanent embargo

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

journal contribution
posted on 2015-01-01, 00:00 authored by M Costantini, Paresh Narayan, S Popp, Joakim WesterlundJoakim Westerlund
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. © 2015

History

Journal

Communications in statistics: simulation and computation

Volume

44

Issue

4

Pagination

868 - 877

Publisher

Taylor and Francis

Location

Abingdon, Eng.

ISSN

0361-0918

eISSN

1532-4141

Language

eng

Publication classification

C Journal article; C1 Refereed article in a scholarly journal

Copyright notice

2015, Taylor and Francis

Usage metrics

    Research Publications

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC