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Testing for seasonal unit roots in monthly panels of time series

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

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Abstract

We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel counterpart to the univariate RURS test that relies on counting extrema in time series. All methods are applied to an empirical data set on tourism in Austrian provinces. The power properties of the tests are evaluated in simulation experiments that are tuned to the tourism data.

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File URL: http://hdl.handle.net/1765/14861
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Publisher Info
Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2009-05 Revision_Date: 2009-11-06.

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Date of creation: 19 Feb 2009
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Handle: RePEc:dgr:eureir:1765014861

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Related research
Keywords: seasonality; nonparametric test; unit roots; panel; tourism;

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This page was last updated on 2009-12-2.

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