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Comportamiento en muestra finita de los contrastes de integracion estacional para datos mensuales

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Author Info

  • Andreu Sanso
  • Manuel Artis Ortuno
  • Jordi Surinach Caralt

    (Universitat de Barcelona)

Abstract

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.

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Bibliographic Info

Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 43.

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Length: 0 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:bar:bedcje:199843

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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
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Cited by:
  1. Antônio Aguirre & Andreu Sansó, 1999. "Using different null hypotheses to test for seasonal unit roots in economic time series," Textos para Discussão Cedeplar-UFMG td124, Cedeplar, Universidade Federal de Minas Gerais.

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