Testing for seasonal unit roots in monthly panels of time series
AbstractWe consider the problem of testing for seasonal unit roots in monthlypanel data. To this aim, we generalize the quarterly CHEGY testto the monthly case. This parametric test is contrasted with a newnonparametric test, which is the panel counterpart to the univariateRURS test that relies on counting extrema in time series. All methodsare applied to an empirical data set on tourism in Austrian provinces.The power properties of the tests are evaluated in simulation experimentsthat are tuned to the tourism data.
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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2009-05.
Date of creation: 19 Feb 2009
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seasonality; unit roots; nonparametric test; panel; tourism;
Other versions of this item:
- Robert M. Kunst & Philip Hans Franses, 2011. "Testing for Seasonal Unit Roots in Monthly Panels of Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 469-488, 08.
- NEP-ALL-2009-03-28 (All new papers)
- NEP-ECM-2009-03-28 (Econometrics)
- NEP-ETS-2009-03-28 (Econometric Time Series)
- NEP-TUR-2009-03-28 (Tourism Economics)
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- Cáceres Hernández, J.J., 2001. "Optimalidad del patrón estacional de las exportaciones canarias de tomate," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 18, pages 41-66, Agosto.
- Tiwari, Aviral, 2010. "Is trade deficit sustainable in India? An inquiry," MPRA Paper 24451, University Library of Munich, Germany.
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