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

See all articles by Artur C.B. da Silva Lopes

Artur C.B. da Silva Lopes

Technical University of Lisbon - Faculty of Economics and Management & CEMAPRE

Antonio Montañes

University of Zaragoza - Faculty of Business and Economics

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

Barros da Silva Lopes, Artur Carlos and Montañes Bernal, Antonio, The Asymptotic and Finite Sample Behaviour of Seasonal Unit Root Tests Under the Presence of a Break in the Deterministic Seasonal Pattern (May 20, 1998). Available at SSRN: https://ssrn.com/abstract=92562

Artur Carlos Barros da Silva Lopes (Contact Author)

Technical University of Lisbon - Faculty of Economics and Management & CEMAPRE ( email )

R. Miguel Lupi, 20
Lisbon, 1200
Portugal
+01 3922796 (Phone)
+01 3922881 (Fax)

Antonio Montañes Bernal

University of Zaragoza - Faculty of Business and Economics ( email )

Gran Via, 2
50005 Zaragoza, Zaragoza 50005
Spain
34 976 76 22 21 (Phone)
34 976 76 19 96 (Fax)

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