The robustness of tests for seasonal differencing to structural breaks

被引：0

作者：

Lopes, ACBD ^{[1
]}

机构：

[1] Univ Tecn Lisboa, ISEG, P-1200 Lisbon, Portugal

来源：

ECONOMICS LETTERS | 2001年 / 71卷 / 02期

关键词：

seasonal integration; tests; structural breaks; Monte Carlo;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Monte Carlo simulations are used to compare the power properties of three simple tests for the seasonal differencing filter when the data contain seasonal mean shifts. Overall, the results favour the HEGY-GLN test. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：173 / 179

页数：7

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