Title of article :
The robustness of tests for seasonal differencing to structural breaks
Author/Authors :
Lopes، Artur C. B. da Silva نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Abstract :
Monte Carlo simulations are used to compare the power properties of three simple tests for the seasonal differencing filter when the data contain seasonal mean shifts. Overall, the results favour the HEGY¯GLN test
Keywords :
Markov process , Dynamic factors , Nonlinear , Canonical analysis , reversibility
Journal title :
Economics Letters
Journal title :
Economics Letters
