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
Pages
-172
From page
173
To page
0
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
Serial Year
2001
Journal title
Economics Letters
Record number
21668
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