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Testing for seasonal unit roots in monthly panels of time series

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  • Kunst, R.M.
  • Franses, Ph.H.B.F.

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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Bibliographic Info

Paper provided by Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute in its series Econometric Institute Research Papers with number EI 2009-05.

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Date of creation: 19 Feb 2009
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Handle: RePEc:ems:eureir:14861

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

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References

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  1. Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2007. "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence," Economics Letters, Elsevier, Elsevier, vol. 97(2), pages 179-184, November.
  2. Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Economics Working Papers, European University Institute ECO2005/05, European University Institute.
  3. Jesus Otero & Jeremy Smith, 2004. "Testing for seasonal unit roots in heterogeneous panels," Econometric Society 2004 Latin American Meetings, Econometric Society 21, Econometric Society.
  4. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 44(1-2), pages 215-238.
  5. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
  6. Franses, Ph.H.B.F. & Kunst, R.M., 1998. "On the role of seasonal intercepts in seasonal cointegration," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute EI 9820, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  7. Ucar, Nuri & Guler, Huseyin, 2010. "Testing stochastic income convergence in seasonal heterogeneous panels," Economic Modelling, Elsevier, Elsevier, vol. 27(1), pages 422-431, January.
  8. Christian Dreger & Hans-Eggert Reimers, 2004. "Panel Seasonal Unit Root Test With An Application for Unemployment Data," IWH Discussion Papers, Halle Institute for Economic Research 191, Halle Institute for Economic Research.
  9. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 108(2), pages 343-363, June.
  10. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, Elsevier, vol. 115(1), pages 53-74, July.
  11. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0126, National Bureau of Economic Research, Inc.
  12. So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, Elsevier, vol. 102(2), pages 197-229, June.
  13. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521565882.
  14. Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series, Institute for Advanced Studies 233, Institute for Advanced Studies.
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Cited by:
  1. Kunst, Robert M., 2014. "A Combined Nonparametric Test for Seasonal Unit Roots," Economics Series, Institute for Advanced Studies 303, Institute for Advanced Studies.
  2. Tiwari, Aviral, 2010. "Is trade deficit sustainable in India? An inquiry," MPRA Paper 24451, University Library of Munich, Germany.
  3. 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.

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