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Finite Sample properties of Seasonal Integration Tests

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  • Shipra Banik

    (School of Economics, La Trobe University)

  • Param Silvapulle

    (School of Economics, La Trobe University)

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    Abstract

    Since an analysis of seasonal fluctuation appeared to shed light on the nature of business cycles, testing for seasonal pattern in time series has been given considerable attention in the recent literature. It is also well-known that many economic and financial time series exhibit strong dependence - long memory property. This paper considers a number of procedures; namely Hassler's extension of Geweke and Porter-Hudaks (1983) (GPH) semi-parametric test, Robinson's (1983) (GPH) semi-parametric test, Robinson's frequency-domain score test and Silvapulle's time-domain test, in order to test for the long memory properties of quarterly time series at zero and seasonal frequencies. Very little is known about the finite sample properties of these tests. In a simulation study, we find that time-domain and semi-parametric tests generally have sizes close to the nominal level, with the latter having sizes higher than the nominal level at the semi-annual frequency. In terms of power, the time-domain score test dominates the other tests.

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    Bibliographic Info

    Paper provided by School of Economics, La Trobe University in its series Working Papers with number 1998.09.

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    Length: 20 pages
    Date of creation: 1998
    Date of revision:
    Handle: RePEc:trb:wpaper:1998.09

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    Keywords: Time Series; Seasonality; Economic Models;

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