The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts

Artur Silva Lopes () and Antonio Montañés

Econometrics from University Library of Munich, Germany

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. As a by-product 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 towards the non-rejection of the seasonal and nonseasonal unit root hypotheses. However, the finite sample power properties may be substancially affected, the behavior of the tests depending on the type of the break. Hence, our results are also useful to understand and to predict this behavior under several circumstances.

Keywords: seasonality; unit roots; strctural breaks; HEGY tests (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2004-11-14
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: Type of Document - pdf; pages: 27
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0411/0411010.pdf (application/pdf)

Related works:
Journal Article: THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS (2005)
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:wpa:wuwpem:0411010

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).