In this paper we carry out a broad simulation experiment where the finite sample behaviour of two parametric seasonal unit root tests for monthly data is studied. In concrete, we analyse the performance of both the Franses (1991) and Canova and Hansesn (1995) procedures. We point out, among other facts, the large distortions in size caused by MAs structures or by misspecification of the seasonal terms. We also show that the tests we study seem to be robust in front periodic seasonality. In this case, the problems are focused on the zero frequency although a decrease in power is also observed in the seasonal frequencies related with the variation of the periodic coefficients. Finally, we point out several facts not expected when we designed the simulation experiments that need future research.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number
43.
Length: 0 pages Date of creation: 1998 Date of revision: Handle: RePEc:bar:bedcje:199843
Contact details of provider: Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain. Web page: http://www.ere.ub.es More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Espai de Recerca en Economia).
Related research
Keywords:
Cited by: (explanations, 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.)