Publicação
The behavior of hegy tests for quarterly time series with seasonal mean shifts
| dc.contributor.author | Lopes, Artur Silva | |
| dc.contributor.author | Montañés, Antonio | |
| dc.date.accessioned | 2019-04-10T09:50:13Z | |
| dc.date.available | 2019-04-10T09:50:13Z | |
| dc.date.issued | 2005 | |
| dc.description.abstract | This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. We analyze also the HEGY test for the nonseasonal unit root. Our results show that when the break magnitudes are finite, the HEGY test statistics are not asymptotically biased toward the nonrejection of the seasonal and nonseasonal unit root hypotheses. However, the finite sample power properties may be substantially affected, the behavior of the tests depending on the type of the break. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Lopes, Artur Silva e Antonio Montañés (2005). "The behavior of hegy tests for quarterly time series with seasonal mean shifts". Econometric Reviews, 24(1):83-108 | pt_PT |
| dc.identifier.doi | 10.1081/ETC-200049141 | pt_PT |
| dc.identifier.issn | 0747-4938 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/17719 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | Taylor & Francis | pt_PT |
| dc.relation.publisherversion | https://www.tandfonline.com/action/journalInformation?journalCode=lecr20 | pt_PT |
| dc.subject | HEGY tests | pt_PT |
| dc.subject | Seasonality | pt_PT |
| dc.subject | Structural breaks | pt_PT |
| dc.subject | Unit roots | pt_PT |
| dc.title | The behavior of hegy tests for quarterly time series with seasonal mean shifts | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | London | pt_PT |
| oaire.citation.endPage | 108 | pt_PT |
| oaire.citation.issue | 1 | pt_PT |
| oaire.citation.startPage | 83 | pt_PT |
| oaire.citation.title | Econometric Reviews | pt_PT |
| oaire.citation.volume | 24 | pt_PT |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |
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