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
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)
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Journal Article: On LM‐type tests for seasonal unit roots in the presence of a break in trend (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w200920
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