Comportamiento en muestra finita de los contrastes de integracion estacional para datos mensuales
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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1998|
|Contact details of provider:|| Postal: Espai de Recerca en Economia, Facultat de CiÃ¨ncies EconÃ²miques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.|
Phone: +34 93 402 43 13cazza
Web page: http://www.ere.ub.es
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:bar:bedcje:199843. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Espai de Recerca en Economia)
If references are entirely missing, you can add them using this form.