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On LM type tests for seasonal unit roots in quarterly data

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Author Info
Paulo M. M. Rodrigues () (Faculty of Economics, University of Algarve, Portugal)

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Abstract

In this paper the application of the score principle to test for unit roots in seasonal processes is analysed. In particular, tests based on the procedure proposed by Hylleberg "et al." (1990, Journal of Econometrics, 44, 215-38) (HEGY) are introduced and the respective limit distributions derived in a local-to-unity context. It is shown that these statistics converge to distributions already tabulated in the literature. A Monte Carlo investigation contrasting the conventional HEGY procedure with the new Lagrange multiplier HEGY type tests reveals the latter to have a better performance. Furthermore, the limiting powers of the test statistic are also computed and compared. Copyright Royal Economic Society 2002

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Publisher Info
Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 5 (2002)
Issue (Month): 1 (June)
Pages: 176-195
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Handle: RePEc:ect:emjrnl:v:5:y:2002:i:1:p:176-195

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  1. Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(2), pages 191-209, 03. [Downloadable!] (restricted)
  2. Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004. "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers ECO2004/29, European University Institute. [Downloadable!]
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This page was last updated on 2009-11-27.

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