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

Producción científica: Contribución a revista › Artículo de Investigación › revisión exhaustiva

13 Citas (Scopus)

Resumen

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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	13-19
Número de páginas	7
Publicación	Economics Letters
Volumen	56
N.º	1
DOI	https://doi.org/10.1016/s0165-1765(97)00156-0
Estado	Publicada - sep. 26 1997
Publicado de forma externa	Sí

Áreas temáticas de ASJC Scopus

Finanzas
Economía y econometría

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@article{4c9b1b3f3f5b492197895796d65cffd4,

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.",

year = "1997",

month = sep,

day = "26",

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

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T1 - Structural breaks and seasonal integration

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.

PY - 1997/9/26

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.

UR - https://www.scopus.com/pages/publications/0031587250

UR - https://www.scopus.com/pages/publications/0031587250#tab=citedBy

U2 - 10.1016/s0165-1765(97)00156-0

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

M3 - Research Article

AN - SCOPUS:0031587250

SN - 0165-1765

VL - 56

SP - 13

EP - 19

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Structural breaks and seasonal integration

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