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Using different null hypotheses to test for seasonal unit roots in economic time series

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  • Antonio Aguirre

    (Universidade Federal de Minas Gerais (UFMG))

  • Andreu Sansó

    (Universidad de Barcelona)

Abstract

This paper tries to make a contribution by discussing the application of different testing procedures to determine the seasonal properties of quarterly data. We focus on the Hylleberg et al. and on the Canova-Hansen tests. The former detect a unit root at the zero frequency but no seasonal unit roots. The latter reveal that the series displays a statistically significant seasonal pattern with changing coefficients of some seasonal dummy variables. The CH tests finding of a seasonal unit root at frequency ? does not agree with the HEGY-type test results. An explanation is given to try to interpret these two contradictory outcomes.

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Bibliographic Info

Article provided by Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata in its journal Económica.

Volume (Year): XLVIII (2002)
Issue (Month): 1-2 (January-December)
Pages: 3-26

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Handle: RePEc:lap:journl:525

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  1. Antonio Aguirre, 1995. "Uma introdução à análise espectral de séries temporais econômicas," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 5(1), pages 41-60, August.
  2. Philip Hans Franses And A. M. Robert Taylor, 2000. "Determining the order of differencing in seasonal time series processes," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 250-264.
  3. J. Joseph Beaulieu & Jeffrey A. Miron, 1991. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Papers 0011, Boston University - Industry Studies Programme.
  4. Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-77, November.
  5. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
  6. Ilmakunnas, Pekka, 1990. "Testing the Order of Differencing in Quarterly Data: An Illustration of the Testing Sequence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(1), pages 79-88, February.
  7. Ghysels, E., 1990. "On the Economic and Econometrics of Seasonality," Cahiers de recherche 9028, Universite de Montreal, Departement de sciences economiques.
  8. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
  9. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
  10. Antonio Aguirre, 1995. "Uma introdução à análise espectral de séries temporais econômicas," Textos para Discussão Cedeplar-UFMG td081, Cedeplar, Universidade Federal de Minas Gerais.
  11. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
  12. Andreu Sanso & Manuel Artis Ortuno & Jordi Surinach Caralt, 1998. "Comportamiento en muestra finita de los contrastes de integracion estacional para datos mensuales," Working Papers in Economics 43, Universitat de Barcelona. Espai de Recerca en Economia.
  13. Antonio Aguirre, 1997. "Testing for seasonal unit roots in a quarterly series of beef cattle prices in the state of São Paulo (Brazil)," Textos para Discussão Cedeplar-UFMG td115, Cedeplar, Universidade Federal de Minas Gerais.
  14. Harvey, Andrew & Scott, Andrew, 1994. "Seasonality in Dynamic Regression Models," Economic Journal, Royal Economic Society, vol. 104(427), pages 1324-45, November.
  15. Osborn, Denise R., 1990. "A survey of seasonality in UK macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 6(3), pages 327-336, October.
  16. Antonio Aguirre & Luis Antonio Aguirre, 2000. "Time series analysis of monthly beef cattle prices with nonlinear autoregressive models," Applied Economics, Taylor & Francis Journals, vol. 32(3), pages 265-275.
  17. repec:fth:erroem:9712/a is not listed on IDEAS
  18. Dickey, David A & Pantula, Sastry G, 2002. "Determining the Order of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 18-24, January.
  19. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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