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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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    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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