Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach
This paper adopts a unified approach to the derivation of the asymptotic distributions of various seasonal unit root tests. The procedures considered are those of Dickey et al. [DHF], Kunst, Hylleberg et al. [HEGY], Osborn et al. [OCSB], Ghysels et al. [GHL] and Franses. This unified approach shows that the asymptotic distributions of all these test statistics are functions of the same vector of Brownian motions. The Kunst test and the overall HEGY F-test are, indeed, equivalent both asymptotically and in finite samples, while the Franses and GHL tests are shown to have equivalent parameterizations. The OCSB and DHF test regressions are viewed as restricted forms of the Kunst-HEGY regressions, and these restrictions may have non-trivial asymptotic implications.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 21 (2002)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 473-495.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal, Integration And Cointegration,"
6-88-2, Pennsylvania State - Department of Economics.
- Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
- Phillips, P.C.B., 1986.
"Understanding spurious regressions in econometrics,"
Journal of Econometrics,
Elsevier, vol. 33(3), pages 311-340, December.
- Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
- Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-77, November.
- Richard Smith & Robert Taylor, .
"Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests,"
95/43, Department of Economics, University of York.
- Smith, Richard J. & Taylor, A. M. Robert, 1998. "Additional critical values and asymptotic representations for seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 85(2), pages 269-288, August.
- Smith, R.J. & Taylor, R., 1995. "Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests," Cambridge Working Papers in Economics 9529, Faculty of Economics, University of Cambridge.
- Eric Ghysels & Alastair Hall & Hahn Shik Lee, 1995.
"On Periodic Structures and Testing for Seasonal Unit Roots,"
CIRANO Working Papers
- Ghysels, E. & Hall, A. & Lee, H.S., 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," Cahiers de recherche 9518, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Hall, A. & Lee, H.S., 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," Cahiers de recherche 9518, Universite de Montreal, Departement de sciences economiques.
- Smith, R.J. & Taylor, A.M.R., 1999.
"Regression-Based Seasonal Unit Root Tests,"
99-15, Department of Economics, University of Birmingham.
- Philip Hans Franses & Bart Hobijn, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 24(1), pages 25-48.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Ghysels,Eric & Osborn,Denise R., 2001.
"The Econometric Analysis of Seasonal Time Series,"
Cambridge University Press, number 9780521562607.
- 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.
- Dickey, David A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 329-331.
- Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
- Franses, Philip Hans, 1991. "Seasonality, non-stationarity and the forecasting of monthly time series," International Journal of Forecasting, Elsevier, vol. 7(2), pages 199-208, August.
- Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
- Paulo Rodrigues & Denise Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 985-1004.
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:21:y:2002:i:2:p:221-241. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.