On LM-type tests for seasonal unit roots in the presence of a break in trend
Nunes, L.C., P.M.M. Rodrigues
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(2011)
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"On LM-type tests for seasonal unit roots in the presence of a break in trend"
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Journal of Time Series Analysis
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32
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108-134
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CEFAGE Author(s)
Paulo Manuel Marques Rodrigues
Abstract
This article proposes tests for seasonal unit roots allowing for the presence of a break in the trend slope occurring at an unknown date. In particular, new LM-type tests are derived based on the framework introduced by Hylleberg et al. (1990). Null asymptotic distributions are derived for the no break case as well as when a break is present in the data-generating process and a Monte Carlo investigation on the finite sample size and power performance of the new procedures is presented.