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A Note on Seasonal Unit Root Tests

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  • Olivier Darné
  • Claude Diebolt

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File URL: http://hdl.handle.net/10.1023/A:1016032601197
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Bibliographic Info

Article provided by Springer in its journal Quality and Quantity.

Volume (Year): 36 (2002)
Issue (Month): 3 (August)
Pages: 305-310

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Handle: RePEc:spr:qualqt:v:36:y:2002:i:3:p:305-310

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Web page: http://www.springer.com/economics/journal/11135

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Related research

Keywords: deterministic and stochastic fluctuations; seasonality; seasonal unit root tests; time series models;

References

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  1. 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.
  2. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-35.
  3. Osborn, Denise R., 1990. "A survey of seasonality in UK macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 6(3), pages 327-336, October.
  4. Sandra G. Feltham & David E.A. Giles, 1999. "Testing for Unit Roots in Semi-Annual Data," Econometrics Working Papers 9912, Department of Economics, University of Victoria.
  5. Dickey, David A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 329-331.
  6. Richard J. Smith & A. M. Robert Taylor & Tomas del Barrio Castro, 2007. "Regression-based seasonal unit root tests," Discussion Papers 07/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  7. 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.
  8. Taylor, A. M. Robert, 1997. "On the practical problems of computing seasonal unit root tests," International Journal of Forecasting, Elsevier, vol. 13(3), pages 307-318, September.
  9. Abeysinghe, Tilak, 1994. "Deterministic seasonal models and spurious regressions," Journal of Econometrics, Elsevier, vol. 61(2), pages 259-272, April.
  10. Philip Hans Franses & Bart Hobijn, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor and Francis Journals, vol. 24(1), pages 25-48.
  11. 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.
  12. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
  13. Robert B. Barsky & Jeffrey A. Miron, 1989. "The Seasonal Cycle and the Business Cycle," NBER Working Papers 2688, National Bureau of Economic Research, Inc.
  14. Otto, Glenn & Wirjanto, Tony, 1990. "Seasonal unit-root tests on Canadian macroeconomic time series," Economics Letters, Elsevier, vol. 34(2), pages 117-120, October.
  15. Engle, R. F. & Granger, C. W. J. & Hallman, J. J., 1989. "Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting," Journal of Econometrics, Elsevier, vol. 40(1), pages 45-62, January.
  16. Andrade, I C, et al, 1999. "Tests for Stochastic Seasonality Applied to Daily Financial Time Series," Manchester School, University of Manchester, vol. 67(1), pages 39-59, January.
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