Structural breaks and seasonal integration

Economics Letters

Volumn 56, Issue 1, 1997, Pages 13-19

  Smith, Jeremy ^a   Otero, Jesus ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

HEGY; Seasonal unit roots; Structural breaks; Unit roots

Indexed keywords

EID: 0031587250     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(97)00156-0     Document Type: Article

References (11)

1. Beaulieu, J., Miron, J., 1993. Seasonal unit roots in aggregate U.S. data. Journal of Econometrics 55, 305-328.
2. Engle, R.F., Granger, C.W.J., Hylleberg, E.B., Lee, H.S., 1993. Seasonal cointegration: The Japanese consumption function. Journal of Econometrics 55, 275-298.
3. Franses, P.H., McAleer, M., 1994. Testing nested and non-nested periodically integrated autoregressive models. Mimeo.
4. Franses, P.H., Vogelsang, T.J., 1995. Testing for seasonal unit roots in the presence of changing seasonal means. Econometric Institute Report 9532/A, Erasmus University, Rotterdam.
5. Ghysels, E., Lee, H.S., Siklos, P., 1993. On the (mis)specification of seasonality and its consequences: An empirical investigation with U.S. data. Empirical Economics 18, 747-760.
6. Ghysels, E., Lee, H.S., Noh, J., 1994. Testing for unit roots in seasonal time series. Journal of Econometrics 62, 415-442.
7. Hylleberg, S., Engle, R.F., Granger, C.W.J., Yoo, B.S., 1990. Seasonal integration and cointegration. Journal of Econometrics 99, 215-238.
8. Lee, H., Siklos, P., 1991. Unit roots and seasonal unit roots in macroeconomic time series: Canadian evidence. Economics Letters 35, 273-277.
9. Osborn, D.R., 1988. Seasonality and habit persistence in a life-cycle model of consumption. Journal of Applied Econometrics 48, 373-384.
10. Otto, G., Wirjanto, T., 1990. Seasonal unit-root tests on Canadian macroeconomic time series. Economics Letters 34, 117-120.
11. Perron, P., 1989. The great crash, the oil price shock, and the unit root hypothesis. Econometrica 57, 1361-1401.