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Tests de racines unitaires multiples et saisonnalité

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  • Fabrice Barthélémy

Abstract

[eng] Multiple unit root tests and seasonality. . To test multiple unit roots, Dickey et Pantula have shown that the usual upward testing sequence, which consists in testing first for one unit root, is statistically false. They built a downward testing sequence where the highest integration level is tested first. The aim of this paper is to extend this result to the case of seasonal unit roots. [fre] Tests de racines unitaires multiples et saisonnalité. . Pour tester la présence de racines unitaires multiples, Dickey et Pantula ont montré que la procédure séquentielle ascendante, qui consiste à tester en premier la présence d'une seule racine unitaire, est statistiquement fausse. Ils ont construit un test séquentiel descendant où l'on teste en premier le plus grand nombre de racines unitaires possibles. L'objet de cet article est d'étendre ce résultat au cas où les racines sont saisonnières.

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Bibliographic Info

Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 48 (1997)
Issue (Month): 3 ()
Pages: 673-683

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Handle: RePEc:prs:reveco:reco_0035-2764_1997_num_48_3_409906

Note: DOI:10.2307/3502852
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/reco

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