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Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles

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  • Gabriel Pons Rotger

    (Department of Economics, University of Aarhus, Denmark)

Abstract

The 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.

Suggested Citation

  • Gabriel Pons Rotger, 2004. "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers 2004-1, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:aarhec:2004-1
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    File URL: https://repec.econ.au.dk/repec/afn/wp/04/wp04_01.pdf
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    References listed on IDEAS

    as
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    2. 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.
    3. 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.
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    More about this item

    Keywords

    Temporal aggregation; seasonal unit roots; sequential test;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; 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

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