Testing for Periodic Integration with a Changing Mean
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Other documents of the author: del Barrio Castro, Tomás; Camarero, Mariam; Tamarit, Cecilio
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comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
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Title
Testing for Periodic Integration with a Changing MeanDate
2017Publisher
Springer VerlagISSN
0927-7099; 1572-9974Bibliographic citation
DEL BARRIO, Tomás; CAMARERO, Mariam; TAMARIT, Cecilio. Testing for Periodic Integration with a Changing Mean. Computational Economics, 2017, p. 1-31.Type
info:eu-repo/semantics/articlePublisher version
https://link.springer.com/article/10.1007/s10614-017-9680-xVersion
info:eu-repo/semantics/publishedVersionSubject
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 ... [+]
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. [-]
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Computational Economics, 2017Investigation project
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-CLRights
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