Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series |
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| Authors: | Mauro Costantini Paresh Narayan Stephan Popp Joakim Westerlund |
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| Affiliation: | 1. Department of Economics and Finance, Brunel University, Uxbridge, UK;2. School of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, Melbourne, Australia;3. Department of Economics and Statistics, University of Duisburg-Essen, Essen, Germany |
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| Abstract: | In this article three unit root tests that allow for a break in both the seasonal mean and linear trend of the data are proposed. The tests, which can be seen as small-sample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts. |
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| Keywords: | Linear time trend Seasonal unit root tests’ structural breaks |
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