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On Periodic Structures and Testing for Seasonal Unit Roots

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  • Eric Ghysels

    ()

  • Alastair Hall
  • Hahn Shik Lee

Abstract

The standard testing procedures for seasonal unit roots developed so far have been based0501nly on time invariant ARMA processes with AR polynomials involving seasonal differencing. One attractive alternative is to employ periodic ARMA models in which the coefficients are allowed to vary with the season. In this paper, we present convenient procedures for testing for the presence of unit roots at the zero and seasonal frequencies in periodic time series. The limiting distributions of these statistics are derived and tabulated. Simulation evidence illustrates the advantages of allowing for periodicity in this context when it is present. The tests are illustrated via applications to macroeconomic and ozone level data. Les procédures standards pour tester la présence de racines unitaires aux fréquences saisonnières sont basées sur une représentation invariante ARIMA. Une classe alternative de processus est celle des modèles à variations périodiques des paramètres. Dans cette étude nous présentons des tests de racines unitaires qui prennent explicitement en compte une structure périodique. Les distributions asymptotiques sont dérivées. Une étude Monte Carlo démontre les avantages de nos tests par rapport aux procédures standards.

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Bibliographic Info

Paper provided by CIRANO in its series CIRANO Working Papers with number 95s-21.

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Date of creation: 01 Mar 1995
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Handle: RePEc:cir:cirwor:95s-21

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Keywords: Periodic models; Seasonal unit roots; Modèles périodiques ; Racines unitaires saisonières;

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Cited by:
  1. Christiano, Lawrence J. & Todd, Richard M., 2002. "The conventional treatment of seasonality in business cycle analysis: does it create distortions?," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 335-364, March.
  2. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
  3. Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 221-241.
  4. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
  5. Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies.

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