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Testing common deterministic seasonality, with an application to industrial production

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Author Info
Franses, Ph.H.B.F.
Kunst, R.M. (Erasmus Econometric Institute)

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Abstract

We propose methods to test for common deterministic seasonality, while allowing for possible seasonal unit roots. For this purpose, we consider panel methods, where we allow for individual and for common dynamics. To decide on the presence of seasonal unit roots, we introduce a decision-based approach, for which we derive the relevant critical values. We introduce an estimation method for our specific panel models. Our application concerns 16 quarterly industrial production series. One of our findings is that there is not much evidence for common deterministic seasonality.

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File URL: http://hdl.handle.net/1765/1560
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Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 9905-/A Revision_Date: 2009-11-06.

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Date of creation: 01 Jan 1999
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Handle: RePEc:dgr:eureir:1765001560

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Related research
Keywords: deterministic seasonality; seasonal unit roots;

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