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Testing for Seasonal Unit Roots in Monthly Panels of Time Series

  • Robert M. Kunst
  • Philip Hans Franses

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.

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.

Volume (Year): 73 (2011)
Issue (Month): 4 (08)
Pages: 469-488

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Handle: RePEc:bla:obuest:v:73:y:2011:i:4:p:469-488
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  1. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  2. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  3. So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, vol. 102(2), pages 197-229, June.
  4. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
  5. Jesus Otero & Jeremy Smith, 2004. "Testing for seasonal unit roots in heterogeneous panels," Econometric Society 2004 Latin American Meetings 21, Econometric Society.
  6. Ucar, Nuri & Guler, Huseyin, 2010. "Testing stochastic income convergence in seasonal heterogeneous panels," Economic Modelling, Elsevier, vol. 27(1), pages 422-431, January.
  7. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
  8. Franses, Philip Hans & Kunst, Robert M., 1995. "On the role of seasonal intercepts in seasonal cointegration," Economics Series 15, Institute for Advanced Studies.
  9. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  10. Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series 233, Institute for Advanced Studies.
  11. Christian Dreger & Hans-Eggert Reimers, 2004. "Panel Seasonal Unit Root Test With An Application for Unemployment Data," IWH Discussion Papers 191, Halle Institute for Economic Research.
  12. repec:cup:cbooks:9780521565882 is not listed on IDEAS
  13. Giulietti, Monica & Otero, Jesus & Smith, Jeremy, 2007. "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence," The Warwick Economics Research Paper Series (TWERPS) 784, University of Warwick, Department of Economics.
  14. Jaroslava Hlouskova & Martin Wagner, 2006. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 85-116.
  15. repec:cup:cbooks:9780521562607 is not listed on IDEAS
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