Structural breaks and seasonal integration

Jeremy Smith, Jesus Otero

Research output: Contribution to journalArticlepeer-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 languageEnglish (US)
Pages (from-to)13-19
Number of pages7
JournalEconomics Letters
Volume56
Issue number1
DOIs
StatePublished - Sep 26 1997
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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