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On LM-type tests for seasonal unit roots in the presence of a break in trend

Authors


Paulo M. M. Rodrigues, Economics Research Department, Banco de Portugal, Av. Almirante Reis, 71-6th floor, 1150-012 Lisbon, Portugal.

Abstract

This article proposes tests for seasonal unit roots allowing for the presence of a break in the trend slope occurring at an unknown date. In particular, new LM-type tests are derived based on the framework introduced by Hylleberg et al. (1990). Null asymptotic distributions are derived for the no break case as well as when a break is present in the data-generating process and a Monte Carlo investigation on the finite sample size and power performance of the new procedures is presented.

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