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Testing for Periodic Integration with a Changing Mean
| dc.contributor.author | del Barrio Castro, Tomás | |
| dc.contributor.author | Camarero, Mariam | |
| dc.contributor.author | Tamarit, Cecilio | |
| dc.date.accessioned | 2017-11-03T10:08:04Z | |
| dc.date.available | 2017-11-03T10:08:04Z | |
| dc.date.issued | 2017 | |
| dc.identifier.citation | DEL BARRIO, Tomás; CAMARERO, Mariam; TAMARIT, Cecilio. Testing for Periodic Integration with a Changing Mean. Computational Economics, 2017, p. 1-31. | ca_CA |
| dc.identifier.issn | 0927-7099 | |
| dc.identifier.issn | 1572-9974 | |
| dc.identifier.uri | http://hdl.handle.net/10234/169823 | |
| dc.description.abstract | In this paper we extend the test of periodic integration proposed by Boswijk and Franses (J Time Ser Anal 17:221–245, 1996) allowing for a change in the mean. We provide the asymptotic distribution and show that is the square of the distribution obtained by Perron and Vogelsang (J Bus Econ Stat 10:467–470, 1992a, J Bus Econ Stat 10:301–320, 1992b). In a Monte-Carlo experiment we show a good behaviour of the test in terms of size and power. Finally we have illustrated the use of the test in an empirical application to the case of external imbalances in the eurozone. | ca_CA |
| dc.description.sponsorShip | We thank Denise R. Osborn, A. M. Robert Taylor, A. Banerjee and two anonymous referees for helpful and constructive comments on a previous version of this paper. | |
| dc.format.extent | 31 p. | ca_CA |
| dc.format.mimetype | application/pdf | ca_CA |
| dc.language.iso | eng | ca_CA |
| dc.publisher | Springer Verlag | ca_CA |
| dc.relation.isPartOf | Computational Economics, 2017 | |
| dc.rights | © Springer International Publishing AG. | ca_CA |
| dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | * |
| dc.subject | periodic integration | ca_CA |
| dc.subject | change in the mean | ca_CA |
| dc.subject | trade balance | ca_CA |
| dc.title | Testing for Periodic Integration with a Changing Mean | ca_CA |
| dc.type | info:eu-repo/semantics/article | ca_CA |
| dc.identifier.doi | https://doi.org/10.1007/s10614-017-9680-x | |
| dc.relation.projectID | MINECO / Projects ECO2014-51759-REDT and ECO2014-58991-C3-3-R; Generalitat Valenciana / PROMETEOII/2014/053; European Commission Lifelong Learning Program / Project 542434-LLP-1-2013-1-ES-AJM-CL | ca_CA |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
| dc.relation.publisherVersion | https://link.springer.com/article/10.1007/s10614-017-9680-x | |
| dc.type.version | info:eu-repo/semantics/publishedVersion | ca_CA |
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