THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS

Artur Silva Lopes () and Antonio Montañés

Econometric Reviews, 2005, vol. 24, issue 1, 83-108

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. the data generation process being trend stationary too. 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.

Keywords: HEGY tests; Seasonality; Structural breaks; Unit roots (search for similar items in EconPapers)
Date: 2005
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Working Paper: The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts (2004)
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DOI: 10.1081/ECR-200049141

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