Testing for Periodic Integration with a Changing Mean
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Otros documentos de la autoría: del Barrio Castro, Tomás; Camarero, Mariam; Tamarit, Cecilio
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Título
Testing for Periodic Integration with a Changing MeanFecha de publicación
2017Editor
Springer VerlagISSN
0927-7099; 1572-9974Cita bibliográfica
DEL BARRIO, Tomás; CAMARERO, Mariam; TAMARIT, Cecilio. Testing for Periodic Integration with a Changing Mean. Computational Economics, 2017, p. 1-31.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://link.springer.com/article/10.1007/s10614-017-9680-xVersión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
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. [-]
Publicado en
Computational Economics, 2017Proyecto de investigación
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-CLDerechos de acceso
© Springer International Publishing AG.
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info:eu-repo/semantics/openAccess
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/openAccess
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