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Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series

Westerlund, Joakim LU ; Narayan, Paresh and Costantini, Mauro (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:
author
publishing date
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
2014-08-20 13:27:36
date last changed
2017-01-01 06:12:05
@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},
  keyword      = {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},
  year         = {2014},
}