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Testing for Periodic Integration with a Changing Mean

Author

Listed:
  • Tomás Barrio

    (University of the Balearic Islands)

  • Mariam Camarero

    (University Jaume I)

  • Cecilio Tamarit

    (University of Valencia)

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.

Suggested Citation

  • Tomás Barrio & Mariam Camarero & Cecilio Tamarit, 2019. "Testing for Periodic Integration with a Changing Mean," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 45-75, June.
    • Handle: RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9680-x
    DOI: 10.1007/s10614-017-9680-x
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    More about this item

    Keywords

    Periodic integration; Change in the mean; Trade balance;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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