The Asymptotic and Finite Sample Behaviour of Seasonal Unit Root Tests Under the Presence of a Break in the Deterministic Seasonal Pattern
Posted: 2 Jun 1998
Date Written: May 20, 1998
Abstract
This paper studies the asymptotic behaviour of the HEGY tests for quarterly data, for nonseasonal and seasonal autoregressive unit roots, when the time series being analysed is trend and deterministic seasonal stationary but exhibits a change in the seasonal pattern. Our results show that, asymptotically, the HEGY test statistics are not biased towards the acceptance of the seasonal and nonseasonal unit root hypotheses. Just under some combinations of the parameters the rejection of the false null hypothesses may require a larger sample size. Therefore, our results are also useful to understand and to predict the finite sample power properties of the tests statistics under several circumstances.
JEL Classification: C22, C32
Suggested Citation: Suggested Citation