Tests de racines unitaires multiples et saisonnalité
[eng] Multiple unit root tests and seasonality To test multiple unit roots, Dickey et Pantula have shown that the usual upward testing sequence, which consists in testing first for one unit root, is statistically false. They built a downward testing sequence where the highest integration level is tested first. The aim of this paper is to extend this result to the case of seasonal unit roots. [fre] Tests de racines unitaires multiples et saisonnalité Pour tester la présence de racines unitaires multiples, Dickey et Pantula ont montré que la procédure séquentielle ascendante, qui consiste à tester en premier la présence d'une seule racine unitaire, est statistiquement fausse. Ils ont construit un test séquentiel descendant où l'on teste en premier le plus grand nombre de racines unitaires possibles. L'objet de cet article est d'étendre ce résultat au cas où les racines sont saisonnières.
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Volume (Year): 48 (1997)
Issue (Month): 3 ()
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- Barthelemy, Fabrice & Lubrano, Michel, 1996. "Unit roots tests and SARIMA models," Economics Letters, Elsevier, vol. 50(2), pages 147-154, February.
- Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-61, October.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1990.
"A Cross Country Comparison of Seasonal Cycles and Business Cycles,"
NBER Working Papers
3459, National Bureau of Economic Research, Inc.
- Beaulieu, J Joseph & Miron, Jeffrey A, 1992. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Economic Journal, Royal Economic Society, vol. 102(413), pages 772-88, July.
- Miron, J.A., 1988. "A Cross-Country Comparaison Of Seasonal Cycles And Business Cycles," Papers 89-07, Michigan - Center for Research on Economic & Social Theory.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1991. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Papers 0011, Boston University - Industry Studies Programme.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
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