Testing for Seasonal Unit Roots in Monthly Panels of Time Series
AbstractWe consider the problem of testing for seasonal unit roots in monthlypanel data. To this aim, we generalize the quarterly CHEGY testto the monthly case. This parametric test is contrasted with a newnonparametric test, which is the panel counterpart to the univariateRURS test that relies on counting extrema in time series. All methodsare applied to an empirical data set on tourism in Austrian provinces.The power properties of the tests are evaluated in simulation experimentsthat are tuned to the tourism data.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.
Volume (Year): 73 (2011)
Issue (Month): 4 (08)
Contact details of provider:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
More information through EDIRC
Other versions of this item:
- Kunst, R.M. & Franses, Ph.H.B.F., 2009. "Testing for seasonal unit roots in monthly panels of time series," Econometric Institute Report EI 2009-05, Erasmus University Rotterdam, Econometric Institute.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Tiwari, Aviral, 2010. "Is trade deficit sustainable in India? An inquiry," MPRA Paper 24451, University Library of Munich, Germany.
- Cáceres Hernández, J.J., 2001. "Optimalidad del patrón estacional de las exportaciones canarias de tomate," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 18, pages 41-66, Agosto.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.