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A seasonal unit-root test with Stata

  • Domenico Depalo

    ()

    (Bank of Italy)

Many economic time series exhibit important systematic fluctuations within the year, i.e., seasonality. In contrast to usual practice, I argue that using original data should always be considered, although the process is more compli- cated than that of using seasonally adjusted data. Motivations to use unadjusted data come from the information contained in their peaks and troughs and from economic theory. One major complication is the possible unit root at seasonal frequencies. In this article, I tackle the issue of implementing a test to identify the source of seasonality. In particular, I follow Hylleberg et al. (1990, Journal of Econometrics 44: 215–238) for quarterly data. Copyright 2009 by StataCorp LP.

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Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 9 (2009)
Issue (Month): 3 (September)
Pages: 422-438

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Handle: RePEc:tsj:stataj:v:9:y:2009:i:3:p:422-438
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  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  2. Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society.
  3. 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.
  4. 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.
  5. Lee, Lung-fei, 1995. "Semiparametric maximum likelihood estimation of polychotomous and sequential choice models," Journal of Econometrics, Elsevier, vol. 65(2), pages 381-428, February.
  6. 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.
  7. Osborn, Denise R, 1988. "Seasonality and Habit Persistence in a Life Cycle Model of Consumptio n," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 255-66, October-D.
  8. Jeffrey A. Miron, 1986. "Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption," NBER Working Papers 1845, National Bureau of Economic Research, Inc.
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