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The overall seasonal integration tests under non-stationary alternatives

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  • Ghassen El Montasser

Abstract

Few authors have studied, either asymptotically or in finite samples, the size and power of seasonal unit root tests when the data generating process [DGP] is a non-stationary alternative aside from the seasonal random walk. In this respect, Ghysels, lee and Noh (1994) conducted a simulation study by considering the alternative of a non-seasonal random walk to analyze the size and power properties of some seasonal unit root tests. Analogously, Taylor (2005) completed this analysis by developing the limit theory of statistics of Dickey and Fuller Hasza [DHF] (1984) when the data are generated by a non-seasonal random walk. del Barrio Castro (2007) extended the set of non-stationary alternatives and established, for each one, the asymptotic theory of the statistics subsumed in the HEGY procedure. In this paper, I show that establishing the limit theory of F-type statistics for seasonal unit roots can be debatable in such alternatives. The problem lies in the nature of the regressors that these overall F-type tests specify.

Suggested Citation

  • Ghassen El Montasser, 2011. "The overall seasonal integration tests under non-stationary alternatives," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 54(1), pages 24-38.
    • Handle: RePEc:eei:journl:v:54:y:2011:i:1:p:24-38
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    Cited by:

    1. James Anderson, 2001. "Migration, FDI, and the Margins of Trade," EERI Research Paper Series EERI_RP_2001_05, Economics and Econometrics Research Institute (EERI), Brussels.

    More about this item

    Keywords

    Fisher test; seasonal integration; non-stationary alternatives; Brownian motion; Monte Carlo Simulation.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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