Structural breaks and seasonal integration

Jeremy Smith; Jesus Otero

doi:10.1016/s0165-1765(97)00156-0

Structural breaks and seasonal integration

Jeremy Smith, Jesus Otero

Research output: Contribution to journal › Article › peer-review

12 Scopus citations

Abstract

We examine the effects of exogenous changes in the level or seasonal pattern of a series on the HEGY test. These changes bias both unit root and seasonal root tests. New critical values for the HEGY tests are presented.

Original language	English (US)
Pages (from-to)	13-19
Number of pages	7
Journal	Economics Letters
Volume	56
Issue number	1
DOIs	https://doi.org/10.1016/s0165-1765(97)00156-0
State	Published - Sep 26 1997
Externally published	Yes

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/s0165-1765(97)00156-0

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title = "Structural breaks and seasonal integration",

abstract = "We examine the effects of exogenous changes in the level or seasonal pattern of a series on the HEGY test. These changes bias both unit root and seasonal root tests. New critical values for the HEGY tests are presented.",

author = "Jeremy Smith and Jesus Otero",

note = "Funding Information: The second author would like to thank the Fundaci6n para el Futuro de Colombia-Colfuturo, the British Council and the Banco de la Reptiblica for their financial assistance.",

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doi = "10.1016/s0165-1765(97)00156-0",

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AU - Smith, Jeremy

AU - Otero, Jesus

N1 - Funding Information: The second author would like to thank the Fundaci6n para el Futuro de Colombia-Colfuturo, the British Council and the Banco de la Reptiblica for their financial assistance.

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Y1 - 1997/9/26

N2 - We examine the effects of exogenous changes in the level or seasonal pattern of a series on the HEGY test. These changes bias both unit root and seasonal root tests. New critical values for the HEGY tests are presented.

AB - We examine the effects of exogenous changes in the level or seasonal pattern of a series on the HEGY test. These changes bias both unit root and seasonal root tests. New critical values for the HEGY tests are presented.

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DO - 10.1016/s0165-1765(97)00156-0

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JO - Economics Letters

JF - Economics Letters

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Structural breaks and seasonal integration

Abstract

All Science Journal Classification (ASJC) codes

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