THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS
研究了当季度数据存在季节性模式变化时，HEGY检验对季节性和非季节性单位根的检验行为，发现有限样本下检验功效可能受显著影响。
ABSTRACT This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. We analyze also the HEGY test for the nonseasonal unit root. the data generation process being trend stationary too. Our results show that when the break magnitudes are finite, the HEGY test statistics are not asymptotically biased toward the nonrejection of the seasonal and nonseasonal unit root hypotheses. However, the finite sample power properties may be substantially affected, the behavior of the tests depending on the type of the break.