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.
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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
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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
- 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)
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