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On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend

Paulo Rodrigues () and Luis Nunes ()

Working Papers from Banco de Portugal, Economics and Research Department

Abstract: This paper 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, Engle, Granger and Yoo [HEGY] (1990). Null asymptotic distributions are derived for the no break case as well as when a break is present in the data generating process. A Monte Carlo investigation on the finite sample size and power performance of the new procedures is presented.

JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2009
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Related works:
Journal Article: On LM‐type tests for seasonal unit roots in the presence of a break in trend (2011)
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