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Testing for Unit Roots in Semi-Annual Data

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  • Sandra G. Feltham

    ()

  • David E.A. Giles

    ()

Abstract

We consider the problem of testing for unit roots at the zero and seasonal frequencies in time-series data which are recorded semi-annually. The proposed methodology follows that of Hylleberg et al. (1990) and Beaulieu and Miron (1993) for quarterly and monthly data respectively. The non-standard asymptotic distributions for the single and joint tests are derived, and various percentiles of the finite-sample distributions are tabulated. Monte Carlo simulation is used to investigate the powers of the tests, and we illustrate their application to several semi-annual economic time-series.

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Bibliographic Info

Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 9912.

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Length: 29 pages
Date of creation: 24 Aug 1999
Date of revision:
Handle: RePEc:vic:vicewp:9912

Note: ISSN 1485-6441
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Web page: http://web.uvic.ca/econ
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Keywords: Unit roots; non-stationary data; seasonality; semi-annual data;

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References

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  1. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
  2. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  3. Smith, Richard J. & Taylor, A. M. Robert, 1998. "Additional critical values and asymptotic representations for seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 85(2), pages 269-288, August.
  4. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
  5. Franses,Philip Hans, 1998. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521586412, Fall.
  6. Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 221-241.
  7. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  8. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
  9. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
  10. Philip Hans Franses & Bart Hobijn, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 24(1), pages 25-48.
  11. Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-77, November.
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Cited by:
  1. Olivier Darné & Claude Diebolt, 2002. "A Note on Seasonal Unit Root Tests," Quality & Quantity: International Journal of Methodology, Springer, vol. 36(3), pages 305-310, August.

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