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Using different null hypotheses to test for seasonal unit roots in economic time series

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  • Antônio Aguirre
  • Andreu Sansó

Abstract

This paper tries to make a contribution by discussing the application of different testing procedures to determine the seasonal properties of quarterly data. We focus on the Hylleberg et al. and on the Canova-Hansen tests. The former detect a unit root at the zero frequency but no seasonal unit roots. The latter reveal that the series displays a statistically significant seasonal pattern with changing coefficients of some seasonal dummy variables. The CH tests finding of a seasonal unit root at frequency ? does not agree with the HEGY-type test results. An explanation is given to try to interpret these two contradictory outcomes.
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Suggested Citation

  • 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.
    • Handle: RePEc:cdp:texdis:td124
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    File URL: https://www.cedeplar.ufmg.br/pesquisas/td/TD%20124.pdf
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    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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