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;
2015-01-01

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 counterparts
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/135935
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