Unit root tests for seasonal models with deterministic trends
We develop "Dickey-Fuller type" test statistics for seasonal unit roots when a model is fitted with deterministic seasonal trends. The asymptotic distributions of the test statistics are derived, and the asymptotic power of these statistics under a sequence of local alternatives are considered. Empirical percentiles of the test statistics for selected seasonal periods are provided. The power and size of the test statistics are examined for finite samples through a Monte Carlo simulation and compared with those of the Lagrange multiplier test of Ahn and Cho (1993a).
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Volume (Year): 25 (1995)
Issue (Month): 1 (October)
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- 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 1057-1072, June.
- Ahn, Sung K. & Cho, Sinsup, 1993. "Some tests for unit roots in seasonal time series with deterministic trends," Statistics & Probability Letters, Elsevier, vol. 16(2), pages 85-95, January.
- Barsky, Robert B & Miron, Jeffrey A, 1989. "The Seasonal Cycle and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 503-534, June.
- Park, Joon Y. & Phillips, Peter C.B., 1988.
"Statistical Inference in Regressions with Integrated Processes: Part 1,"
Cambridge University Press, vol. 4(03), pages 468-497, December.
- Peter C.B. Phillips & Joon Y. Park, 1986. "Statistical Inference in Regressions with Integrated Processes: Part 1," Cowles Foundation Discussion Papers 811R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1987.
- Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-287, August.
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