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Article: Tests for seasonal differencing with an unknown break-point

TitleTests for seasonal differencing with an unknown break-point
Authors
KeywordsBreak-point
Broken trend
Lagrange multiplier test
Regular and seasonal unit roots
Structural change
Wiener process
Issue Date1996
PublisherStatistical Society of Australia Inc.
Citation
Australian Journal Of Statistics, 1996, v. 38 n. 2, p. 131-153 How to Cite?
AbstractSome Lagrange multiplier tests for seasonal differencing are proposed; their main objective is to avoid over-differencing due to structural change. The null hypothesis is either the presence of both regular and seasonal unit roots or the presence of a seasonal unit root. Alternative hypotheses allow for stationarity around a possible structural change where the break-point is unknown. The location of the structural change is estimated using the proposed procedures, the asymptotic distribution of the test statistics under the null hypothesis is derived and some useful percentiles are tabulated. An illustrative example based on the Canadian Consumer Price Index is presented.
Persistent Identifierhttp://hdl.handle.net/10722/82914
ISSN
1999 Impact Factor: 0.259
1999 SCImago Journal Rankings: 0.336
References

 

DC FieldValueLanguage
dc.contributor.authorNg, TMen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:34:50Z-
dc.date.available2010-09-06T08:34:50Z-
dc.date.issued1996en_HK
dc.identifier.citationAustralian Journal Of Statistics, 1996, v. 38 n. 2, p. 131-153en_HK
dc.identifier.issn0004-9581en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82914-
dc.description.abstractSome Lagrange multiplier tests for seasonal differencing are proposed; their main objective is to avoid over-differencing due to structural change. The null hypothesis is either the presence of both regular and seasonal unit roots or the presence of a seasonal unit root. Alternative hypotheses allow for stationarity around a possible structural change where the break-point is unknown. The location of the structural change is estimated using the proposed procedures, the asymptotic distribution of the test statistics under the null hypothesis is derived and some useful percentiles are tabulated. An illustrative example based on the Canadian Consumer Price Index is presented.en_HK
dc.languageengen_HK
dc.publisherStatistical Society of Australia Inc.en_HK
dc.relation.ispartofAustralian Journal of Statisticsen_HK
dc.subjectBreak-pointen_HK
dc.subjectBroken trenden_HK
dc.subjectLagrange multiplier testen_HK
dc.subjectRegular and seasonal unit rootsen_HK
dc.subjectStructural changeen_HK
dc.subjectWiener processen_HK
dc.titleTests for seasonal differencing with an unknown break-pointen_HK
dc.typeArticleen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-33748868530en_HK
dc.identifier.hkuros21128en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33748868530&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume38en_HK
dc.identifier.issue2en_HK
dc.identifier.spage131en_HK
dc.identifier.epage153en_HK
dc.identifier.scopusauthoridNg, TM=7402229722en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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