On LM-type tests for seasonal unit roots in the presence of a break in trend

被引：2

作者：

Nunes, Luis C. ^{[1
]}

Rodrigues, Paulo M. M. ^{[1
]}

机构：

[1] Univ Nova Lisboa, Banco Portugal, Econ Res Dept, P-1150012 Lisbon, Portugal

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2011年 / 32卷 / 02期

关键词：

Seasonal unit roots; structural change; trend breaks; LM-type unit root tests; OIL-PRICE SHOCK; TIME-SERIES; GREAT CRASH; DISTRIBUTIONS; MODELS; ORDER;

D O I：

10.1111/j.1467-9892.2010.00687.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This article proposes tests for seasonal unit roots allowing for the presence of a break in the trend slope occurring at an unknown date. In particular, new LM-type tests are derived based on the framework introduced by Hylleberg et al. (1990). Null asymptotic distributions are derived for the no break case as well as when a break is present in the data-generating process and a Monte Carlo investigation on the finite sample size and power performance of the new procedures is presented.

引用

页码：108 / 134

页数：27

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