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Testing for Seasonal Unit Roots with Temporally Aggregated Time Series

  • Rotger, Gabriel Pons

    ()

    (Department of Economics Aarhus, Denmark)

The temporal aggregation effect on seasonal unit roots and its implications for seasonal unit root testing are discussed. The aggregation effect allows to test with any HEGY-type method for integration at the harmonic frequencies through the Nyquist frequency of properly temporally aggregated series.

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File URL: ftp://ftp.econ.au.dk/afn/wp/03/wp03_16.pdf
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Paper provided by School of Economics and Management, University of Aarhus in its series Economics Working Papers with number 2003-16.

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Handle: RePEc:aah:aarhec:2003-16
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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  1. 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.
  2. Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369.
  3. Zacharias Psaradakis, 1996. "Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation," Archive Discussion Papers 9602, Birkbeck, Department of Economics, Mathematics & Statistics.
  4. 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.
  5. 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.
  6. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
  7. William W. S. Wei, 1978. "Some Consequences of Temporal Aggregation in Seasonal Time Series Models," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 433-448 National Bureau of Economic Research, Inc.
  8. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-35.
  9. repec:cup:cbooks:9780521565882 is not listed on IDEAS
  10. H. Niemi, 1984. "The invertibility of sampled and aggregated ARMA models," Metrika, Springer, vol. 31(1), pages 43-50, December.
  11. Burridge, Peter & Taylor, A. M. Robert, 2001. "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, vol. 104(1), pages 91-117, August.
  12. Burridge, Peter & Taylor, A M Robert, 2001. "On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 374-79, July.
  13. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
  14. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
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