Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks
In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analyzing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY and the extended HEGY tests for seasonal unit...
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| Format: | Article |
| Language: | English |
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Economists' Association of Vojvodina
2008-01-01
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| Series: | Panoeconomicus |
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| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2008/1452-595X0804465T.pdf |