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OCSB: Stata module to compute the Osborn-Chui-Smith-Birchenhall (OCSB) test for seasonal unit roots

Author

Listed:
  • Ariel Linden

    (Linden Consulting Group, LLC)

Programming Language

Abstract

ocsb implements the Osborn-Chui-Smith-Birchenhall (OCSB) test for seasonal unit roots (JBES, 1988). The OCSB test is designed to determine whether seasonal differencing is needed for a time series. The null hypothesis is that the series has a seasonal unit root (needs seasonal differencing), while the alternative is that the series is stationary (does not need seasonal differencing). ocsb_ndiff is a wrapper program that repeatedly applies the OCSB test to determine the optimal number of seasonal differences required to make a time series stationary. It follows an iterative procedure similar to nsdiffs in R's forecast package.

Suggested Citation

  • Ariel Linden, 2026. "OCSB: Stata module to compute the Osborn-Chui-Smith-Birchenhall (OCSB) test for seasonal unit roots," Statistical Software Components S459575, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459575
    Note: This module should be installed from within Stata by typing "ssc install ocsb". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/o/ocsb.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/o/ocsb.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/o/ocsb_ndiff.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/o/ocsb_ndiff.sthlp
    File Function: help file
    Download Restriction: no
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