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Comportamiento en muestra finita de los contrastes de integracion estacional para datos mensuales


  • Andreu Sanso
  • Manuel Artis Ortuno
  • Jordi Surinach Caralt

    (Universitat de Barcelona)


In this paper we carry out a broad simulation experiment where the finite sample behaviour of two parametric seasonal unit root tests for monthly data is studied. In concrete, we analyse the performance of both the Franses (1991) and Canova and Hansesn (1995) procedures. We point out, among other facts, the large distortions in size caused by MAs structures or by misspecification of the seasonal terms. We also show that the tests we study seem to be robust in front periodic seasonality. In this case, the problems are focused on the zero frequency although a decrease in power is also observed in the seasonal frequencies related with the variation of the periodic coefficients. Finally, we point out several facts not expected when we designed the simulation experiments that need future research.

Suggested Citation

  • Andreu Sanso & Manuel Artis Ortuno & Jordi Surinach Caralt, 1998. "Comportamiento en muestra finita de los contrastes de integracion estacional para datos mensuales," Working Papers in Economics 43, Universitat de Barcelona. Espai de Recerca en Economia.
  • Handle: RePEc:bar:bedcje:199843

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    References listed on IDEAS

    1. Feldstein, Martin, 1996. "The Missing Piece in Policy Analysis: Social Security Reform," American Economic Review, American Economic Association, vol. 86(2), pages 1-14, May.
    2. Thomas F. Cooley & Jorge Soares, 1999. "A Positive Theory of Social Security Based on Reputation," Journal of Political Economy, University of Chicago Press, vol. 107(1), pages 135-160, February.
    3. Martin Feldstein & Andrew Samwick, 1998. "The Transition Path in Privatizing Social Security," NBER Chapters,in: Privatizing Social Security, pages 215-264 National Bureau of Economic Research, Inc.
    4. Juan F. Jimeno & Omar Licandro, 1999. "La tasa interna de rentabilidad y el equilibrio financiero del sistema español de pensiones de jubilación," Investigaciones Economicas, Fundación SEPI, vol. 23(1), pages 129-143, January.
    5. Juan C. Conesa & Dirk Krueger, 1999. "Social Security Reform with Heterogeneous Agents," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(4), pages 757-795, October.
    6. Alan J. Auerbach & Laurence J. Kotlikoff, 1984. "Simulating Alternative Social Security Responses to the Demographic Transition," NBER Working Papers 1308, National Bureau of Economic Research, Inc.
    7. Martin Feldstein, 1997. "Transition to a Fully Funded Pension System: Five Economic Issues," NBER Working Papers 6149, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Antonio Aguirre & Andreu Sansó, 2002. "Using different null hypotheses to test for seasonal unit roots in economic time series," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0(1-2), pages 3-26, January-D.

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