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 individualand 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 anestimation 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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Paper provided by Erasmus University of Rotterdam - Econometric Institute in its series Papers with number
9905/a.
Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Statistical Decision Theory; Operations Research