| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062233 | Economics Letters | 2007 | 7 Pages |
Abstract
A modified innovational outlier seasonal unit root test for non-trending quarterly data is developed which accounts for seasonal level shifts at an unknown time. The superior test properties regarding size and break date estimation accuracy of the modified approach in contrast to the conventionally used procedures are derived by Monte Carlo analysis.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Stephan Popp,