Testing for Periodic Integration with a Changing Mean
Tomás del Barrio Castro (),
Mariam Camarero () and
Computational Economics, 2019, vol. 54, issue 1, 45-75
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)
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