| Paulo M. M. Rodrigues, University of Algarve |
| Asymptotic Confidence Intervals and Seasonal Unit Root Statistics |
| Session: C-8-18 Monday 14 August 2000 by Rodrigues, Paulo M. M. |
| Typically, point estimates are used when testing for seasonal unit roots. In this paper we derive asymptotic confidence intervals for the autoregressive parameters of interest. These confidence intervals are computed using the local power functions of the DHF and HEGY test procedures. The properties of the derived confidence intervals are evaluated using Monte Carlo simulations and an empirical application is also provided. |