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A Locally Optimal Seaosnal Unit-Root Test

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  • Caner, Mehmet

Abstract

This article proposes a locally best invariant test of the null hypothesis of seasonal stationarity against the alternative of seasonal unit roots at all or individual seasonal frequencies. An asymptotic distribution theory is derived and the finite-sample properties of the test are examined in a Monte Carlo simulation. The author's test is also compared with the Canova and Hansen test. The proposed test is superior to the Canova and Hansen test in terms of both size and power.

Suggested Citation

  • Caner, Mehmet, 1998. "A Locally Optimal Seaosnal Unit-Root Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 349-356, July.
    • Handle: RePEc:bes:jnlbes:v:16:y:1998:i:3:p:349-56
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    Cited by:

    1. El Montasser, Ghassen, 2014. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 54920, University Library of Munich, Germany.
    2. Anton Skrobotov, 2013. "On GLS-detrending for deterministic seasonality testing," Working Papers 0073, Gaidar Institute for Economic Policy, revised 2014.
    3. Johan Lyhagen, 2006. "The seasonal KPSS statistic," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-9.
    4. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    5. Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438, May.
    6. A. M. Robert Taylor, 2003. "Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 591-612, September.
    7. Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 191-209, March.
    8. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October.
    9. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 243-270.
    10. Gabriel Pons Rotger, 2004. "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers 2004-1, Department of Economics and Business Economics, Aarhus University.
    11. Robert M. Kunst & Michael Reutter, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series 286, CESifo.
    12. El Montasser, Ghassen, 2012. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 45110, University Library of Munich, Germany, revised 04 Mar 2014.
    13. Ghassen El Montasser, 2015. "The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms," Econometrics, MDPI, vol. 3(2), pages 1-16, May.
    14. Shipra Banik & Param Silvapulle, 1999. "Testing for Seasonal Stability in Unemployment Series: International Evidence," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 26(2), pages 123-139, June.
    15. Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series 233, Institute for Advanced Studies.
    16. Shigeyuki Hamori & Akira Tokihisa, 2002. "Some International Evidence on the Seasonality of Stock Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 79-86, April.

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