IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v73y2011i4p469-488.html

Testing for Seasonal Unit Roots in Monthly Panels of Time Series

Author

Listed:
  • Robert M. Kunst
  • Philip Hans Franses

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Robert M. Kunst & Philip Hans Franses, 2011. "Testing for Seasonal Unit Roots in Monthly Panels of Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 469-488, August.
    • Handle: RePEc:bla:obuest:v:73:y:2011:i:4:p:469-488
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hsu Shih-Hsun, 2021. "Disentangling the source of non-stationarity in a panel of seasonal data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-18, February.
    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 Economia Aplicada, Estudios de Economia Aplicada, vol. 18, pages 41-66, Agosto.
    4. Kunst, Robert M., 2014. "A Combined Nonparametric Test for Seasonal Unit Roots," Economics Series 303, Institute for Advanced Studies.
    5. Méndez Parra, Maximiliano, . "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses, Department of Economics, University of Sussex Business School, number 0115, December.

    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:73:y:2011:i:4:p:469-488. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfeixuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.