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.
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 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)
Contact details of provider:
Postal: Calle 48 No555 - La Plata (1900)
Phone: 21- 1466
Web page: http://www.depeco.econo.unlp.edu.ar/economica/ing/
More information through EDIRC
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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
- Philip Hans Franses And A. M. Robert Taylor, 2000.
"Determining the order of differencing in seasonal time series processes,"
Royal Economic Society, vol. 3(2), pages 250-264.
- Philip Hans Franses & Robert Taylor, . "Determining the Order of Differencing in Seasonal Time Series Processes," Discussion Papers 97/9, Department of Economics, University of York.
- 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.
- Ghysels, E., 1990.
"On the Economic and Econometrics of Seasonality,"
Cahiers de recherche
9028, Universite de Montreal, Departement de sciences economiques.
- 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.
- repec:fth:erroem:9712/a is not listed on IDEAS
- 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.
- Miron, J.A., 1988.
"A Cross-Country Comparaison Of Seasonal Cycles And Business Cycles,"
89-07, Michigan - Center for Research on Economic & Social Theory.
- Beaulieu, J Joseph & Miron, Jeffrey A, 1992. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Economic Journal, Royal Economic Society, vol. 102(413), pages 772-88, July.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1990. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," NBER Working Papers 3459, National Bureau of Economic Research, Inc.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1991. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Papers 0011, Boston University - Industry Studies Programme.
- 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.
- 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 DiscussÃ£o Cedeplar-UFMG td115, Cedeplar, Universidade Federal de Minas Gerais.
- 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.
- Harvey, Andrew & Scott, Andrew, 1994.
"Seasonality in Dynamic Regression Models,"
Royal Economic Society, vol. 104(427), pages 1324-45, November.
- 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.
- 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.
- 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.
- Antonio Aguirre, 1995. "Uma introdução à análise espectral de séries temporais econômicas," Textos para DiscussÃ£o Cedeplar-UFMG td081, Cedeplar, Universidade Federal de Minas Gerais.
- Antonio Aguirre & Luis Antonio Aguirre, 2000. "Time series analysis of monthly beef cattle prices with nonlinear autoregressive models," Applied Economics, Taylor and Francis Journals, vol. 32(3), pages 265-275.
- 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.
- Osborn, Denise R., 1990. "A survey of seasonality in UK macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 6(3), pages 327-336, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Margarita Machelett).
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.