EconPapers    
Economics at your fingertips  
 

Testing for Periodic Integration with a Changing Mean

Tomás del Barrio Castro (), Mariam Camarero () and Cecilio Tamarit

Computational Economics, 2019, vol. 54, issue 1, 45-75

Abstract: Abstract In this paper we extend the test of periodic integration proposed by Boswijk and Franses (J Time Ser Anal 17:221–245, 1996) allowing for a change in the mean. We provide the asymptotic distribution and show that is the square of the distribution obtained by Perron and Vogelsang (J Bus Econ Stat 10:467–470, 1992a, J Bus Econ Stat 10:301–320, 1992b). In a Monte-Carlo experiment we show a good behaviour of the test in terms of size and power. Finally we have illustrated the use of the test in an empirical application to the case of external imbalances in the eurozone.

Keywords: Periodic integration; Change in the mean; Trade balance (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s10614-017-9680-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9680-x

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2019-08-06
Handle: RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9680-x