On The Asymptotic Properties Of Some Seasonal Unit Root Tests
AbstractThis paper analyzes the large sample behavior of the seasonal unit root tests of Dickey, Hasza, and Fuller (1984, Journal of the American Statistical Association 79, 355 367) when applied to a series that admits a unit root at the zero but not seasonal spectral frequencies. We show that in such cases the Dickey et al. statistics have nondegenerate limiting distributions. Consequently, there is a nonzero probability that, taken in isolation, they will lead the applied researcher to accept the seasonal unit root null hypothesis and hence, incorrectly, take seasonal differences of the series, even asymptotically. The same conclusion holds if the process displays unit root behavior at any of the zero and or seasonal frequencies. Our results therefore prove a conjecture made on the basis of Monte Carlo simulation evidence, in Ghysels, Lee, and Noh (1994, Journal of Econometrics 62, 415 442) that the tests of Dickey et al., unlike those of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215 238), are unable to separate between unit roots at the zero and seasonal frequencies.I thank Peter Burridge, Bruce Hansen, and three anonymous referees for helpful comments on earlier drafts of this paper.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 19 (2003)
Issue (Month): 02 (April)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:email@example.com
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- repec:ebl:ecbull:v:3:y:2005:i:3:p:1-10 is not listed on IDEAS
- Ghassen El Montasser, 2011. "The overall seasonal integration tests under non-stationary alternatives," Journal of Economics and Econometrics, Economics and Econometrics Research Institute (EERI), Brussels, vol. 54(1), pages 24-39.
- Robert Taylor, 2005. "On the limiting behaviour of augmented seasonal unit root tests," Economics Bulletin, AccessEcon, vol. 3(3), pages 1-10.
- del Barrio Castro, Tomas, 2006. "On the performance of the DHF tests against nonstationary alternatives," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 291-297, February.
- Tomas del Barrio Castro, 2007.
"Using the HEGY Procedure When Not All Roots Are Present,"
Working Papers in Economics
170, Universitat de Barcelona. Espai de Recerca en Economia.
- Tomas del Barrio Castro, 2007. "Using the HEGY Procedure When Not All Roots Are Present," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 910-922, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
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.