Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles
AbstractThe effects of systematic sampling and temporal aggregation on the seasonal cycle model (see Miron, 1993) and the seasonally integrated process (see Hylleberg et al., 1990) are discussed. The temporal aggregation theory is used to improve the sequential test for monthly seasonal unit roots of Rodrigues and Franses (2003). It is shown by simulation that the monthly sequential test has better finite sample properties than the BM test (see Beaulieu and Miron, 1993). The new test is applied to monthly US Industrial Production and, contrary to the BM test, rejects the presence of any seasonal unit root.
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 InfoPaper provided by School of Economics and Management, University of Aarhus in its series Economics Working Papers with number 2004-1.
Date of creation: 02 Apr 2004
Date of revision:
Contact details of provider:
Web page: http://www.econ.au.dk/afn/
Temporal aggregation; seasonal unit roots; sequential test;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-04-04 (All new papers)
- NEP-ECM-2004-04-04 (Econometrics)
- NEP-ETS-2004-04-04 (Econometric Time Series)
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.:
- Paulo Rodrigues & Denise Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 985-1004.
- Franses, Philip Hans, 1991. "Moving average filters and unit roots," Economics Letters, Elsevier, vol. 37(4), pages 399-403, December.
- Taylor, A M Robert, 2003. "Robust Stationarity Tests in Seasonal Time Series Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 156-63, January.
- Jeffrey A. Miron, 1996.
"The Economics of Seasonal Cycles,"
MIT Press Books,
The MIT Press,
edition 1, volume 1, number 0262133237, December.
- 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.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
- Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1992.
"Seasonal Unit Roots in Aggregate U.S. Data,"
NBER Technical Working Papers
0126, National Bureau of Economic Research, Inc.
- Paulo Rodrigues & Philip Hans Franses, 2005.
"A sequential approach to testing seasonal unit roots in high frequency data,"
Journal of Applied Statistics,
Taylor & Francis Journals, vol. 32(6), pages 555-569.
- Rodrigues, P.M.M. & Franses, Ph.H.B.F., 2003. "A sequential approach to testing seasonal unit roots in high frequency data," Econometric Institute Research Papers EI 2003-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Caner, Mehmet, 1998. "A Locally Optimal Seaosnal Unit-Root Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 349-56, July.
- H. Niemi, 1984. "The invertibility of sampled and aggregated ARMA models," Metrika, Springer, vol. 31(1), pages 43-50, December.
- Philip Hans Franses & Timothy J. Vogelsang, 1998. "On Seasonal Cycles, Unit Roots, And Mean Shifts," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 231-240, May.
- Hansen, Bruce E., 1992.
"Testing for parameter instability in linear models,"
Journal of Policy Modeling,
Elsevier, vol. 14(4), pages 517-533, August.
- Tom Doan, . "STABTEST: RATS procedure to perform Hansen's stability test for OLS," Statistical Software Components RTS00199, Boston College Department of Economics.
- Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
- 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.
- Philip Hans Franses & Bart Hobijn, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 24(1), pages 25-48.
- Hannan, E J & Terrell, R D & Tuckwell, N E, 1970. "The Seasonal Adjustment of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(1), pages 24-52, February.
- Granger, C. W. J. & Siklos, Pierre L., 1995.
"Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence,"
Journal of Econometrics,
Elsevier, vol. 66(1-2), pages 357-369.
- Granger, C.W.J. & Siklos, P.L., 1993. "Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence," Working Papers 93001, Wilfrid Laurier University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
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.