Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series
(2014) In Communications in Statistics: Simulation and Computation- Abstract
- In this paper 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 smallsample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4588897
- author
- Westerlund, Joakim LU ; Narayan, Paresh and Costantini, Mauro
- publishing date
- 2014-06-09
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Seasonal unit root tests, structural breaks, linear time trend.
- in
- Communications in Statistics: Simulation and Computation
- publisher
- Taylor & Francis
- external identifiers
-
- wos:000342295500005
- scopus:84908537435
- ISSN
- 0361-0918
- DOI
- 10.1080/03610918.2013.794292
- language
- English
- LU publication?
- no
- id
- 2aa8df90-3f75-4e58-8349-65aae45d5036 (old id 4588897)
- alternative location
- http://www.tandfonline.com/doi/abs/10.1080/03610918.2013.794292
- date added to LUP
- 2016-04-01 14:21:48
- date last changed
- 2022-01-28 00:13:11
@article{2aa8df90-3f75-4e58-8349-65aae45d5036,
abstract = {{In this paper 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 smallsample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts.}},
author = {{Westerlund, Joakim and Narayan, Paresh and Costantini, Mauro}},
issn = {{0361-0918}},
keywords = {{Seasonal unit root tests; structural breaks; linear time trend.}},
language = {{eng}},
month = {{06}},
publisher = {{Taylor & Francis}},
series = {{Communications in Statistics: Simulation and Computation}},
title = {{Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series}},
url = {{http://dx.doi.org/10.1080/03610918.2013.794292}},
doi = {{10.1080/03610918.2013.794292}},
year = {{2014}},
}