The behavior of hegy tests for quarterly time series with seasonal mean shifts

Detalhes bibliográficos
Autor(a) principal: Lopes, Artur Silva
Data de Publicação: 2005
Outros Autores: Montañés, Antonio
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/17719
Resumo: 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. We analyze also the HEGY test for the nonseasonal unit root. Our results show that when the break magnitudes are finite, the HEGY test statistics are not asymptotically biased toward the nonrejection of the seasonal and nonseasonal unit root hypotheses. However, the finite sample power properties may be substantially affected, the behavior of the tests depending on the type of the break.
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spelling The behavior of hegy tests for quarterly time series with seasonal mean shiftsHEGY testsSeasonalityStructural breaksUnit rootsThis 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. We analyze also the HEGY test for the nonseasonal unit root. Our results show that when the break magnitudes are finite, the HEGY test statistics are not asymptotically biased toward the nonrejection of the seasonal and nonseasonal unit root hypotheses. However, the finite sample power properties may be substantially affected, the behavior of the tests depending on the type of the break.Taylor & FrancisRepositório da Universidade de LisboaLopes, Artur SilvaMontañés, Antonio2019-04-10T09:50:13Z20052005-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/17719engLopes, Artur Silva e Antonio Montañés (2005). "The behavior of hegy tests for quarterly time series with seasonal mean shifts". Econometric Reviews, 24(1):83-1080747-493810.1081/ETC-200049141info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:47:23Zoai:www.repository.utl.pt:10400.5/17719Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:02:54.345621Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The behavior of hegy tests for quarterly time series with seasonal mean shifts
title The behavior of hegy tests for quarterly time series with seasonal mean shifts
spellingShingle The behavior of hegy tests for quarterly time series with seasonal mean shifts
Lopes, Artur Silva
HEGY tests
Seasonality
Structural breaks
Unit roots
title_short The behavior of hegy tests for quarterly time series with seasonal mean shifts
title_full The behavior of hegy tests for quarterly time series with seasonal mean shifts
title_fullStr The behavior of hegy tests for quarterly time series with seasonal mean shifts
title_full_unstemmed The behavior of hegy tests for quarterly time series with seasonal mean shifts
title_sort The behavior of hegy tests for quarterly time series with seasonal mean shifts
author Lopes, Artur Silva
author_facet Lopes, Artur Silva
Montañés, Antonio
author_role author
author2 Montañés, Antonio
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Lopes, Artur Silva
Montañés, Antonio
dc.subject.por.fl_str_mv HEGY tests
Seasonality
Structural breaks
Unit roots
topic HEGY tests
Seasonality
Structural breaks
Unit roots
description 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. We analyze also the HEGY test for the nonseasonal unit root. Our results show that when the break magnitudes are finite, the HEGY test statistics are not asymptotically biased toward the nonrejection of the seasonal and nonseasonal unit root hypotheses. However, the finite sample power properties may be substantially affected, the behavior of the tests depending on the type of the break.
publishDate 2005
dc.date.none.fl_str_mv 2005
2005-01-01T00:00:00Z
2019-04-10T09:50:13Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/17719
url http://hdl.handle.net/10400.5/17719
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Lopes, Artur Silva e Antonio Montañés (2005). "The behavior of hegy tests for quarterly time series with seasonal mean shifts". Econometric Reviews, 24(1):83-108
0747-4938
10.1081/ETC-200049141
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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