Regression-Based Seasonal Unit Root Tests
AbstractThe contribution of this paper is three-fold. Firslty, a characterisation of the sub-hypotheses comprising the seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests test. Secondly, it proposes regrssion-based tests for the seasonal unit root hypothesis which allow a general seasonal aspect for the data and are similar both exactly and asymptotically with respect to initial values and seasonal drift parameters. Thirdly, simulation evidence is given on the size and power properties of the statistics presented in this paper which has important implications for how tests of the seasonal unit root hypothesis should be conducted.
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Bibliographic InfoPaper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 99-15.
Length: 25 pages
Date of creation: 1999
Date of revision:
TIME SERIES ; ECONOMETRICS ; TESTING;
Other versions of this item:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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