Using different null hypotheses to test for seasonal unit roots in economic time series
AbstractThis 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 InfoArticle 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)
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Other versions of this item:
- Antônio Aguirre & Andreu Sansó, 1999. "Using different null hypotheses to test for seasonal unit roots in economic time series," Textos para DiscussÃ£o Cedeplar-UFMG td124, Cedeplar, Universidade Federal de Minas Gerais.
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
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