Testing for Unit Roots in Semi-Annual Data
AbstractWe 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 InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 9912.
Length: 29 pages
Date of creation: 24 Aug 1999
Date of revision:
Note: ISSN 1485-6441
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More information through EDIRC
Unit roots; non-stationary data; seasonality; semi-annual data;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-01-24 (All new papers)
- NEP-ECM-2000-01-24 (Econometrics)
- NEP-ETS-2000-01-24 (Econometric Time Series)
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