Structural breaks and seasonal integration Academic Article

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Overview

journal

• Economics Letters

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.

authors

• Otero Cardona, Jesús Gilberto
• Jeremy Smith

publication date

• 1997-9-26

edition

• 56

Research

keywords

• Critical Value
• HEGY Tests
• Seasonal Integration
• Structural Breaks
• Unit Root

Identity

International Standard Serial Number (ISSN)

• 0165-1765

Digital Object Identifier (DOI)

• https://doi.org/10.1016/s0165-1765(97)00156-0

Additional Document Info

number of pages

• 7

start page

• 13

end page

• 19