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Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation

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  • Zacharias Psaradakis

Abstract

This paper considers the problem of testing for thepresence of unit autoregressive roots in time series with seasonal components that are arbitrarily close to being deterministic. In particular, the performance of several test criteria for seasonal and non-seasonal unit autoregressive roots is investigated in the case tha tthe data generating mechanism involves a negatively correlated seasonal moving average component. For such cases, many of the commonly used tests are known to have exact sizes much higher than their nominal level. Modifications of available test procedures, based on suitably prewhitened data and feasible generalized least squares estimates, are proposed which substantially reduce size distortions while retaining reasonable power.

Suggested Citation

  • 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.
    • Handle: RePEc:bbk:bbkewp:9602
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    Cited by:

    1. Swanson, Norman R. & Urbach, Richard, 2015. "Prediction and simulation using simple models characterized by nonstationarity and seasonality," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 312-323.
    2. Rotger, Gabriel Pons, "undated". "Testing for Seasonal Unit Roots with Temporally Aggregated Time Series," Economics Working Papers 2003-16, Department of Economics and Business Economics, Aarhus University.
    3. Taylor, A. M. Robert, 1997. "On the practical problems of computing seasonal unit root tests," International Journal of Forecasting, Elsevier, vol. 13(3), pages 307-318, September.
    4. Antonio Rubia, 2001. "Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets," Working Papers. Serie EC 2001-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    5. Yoshinori Kawasaki, 1996. "A Model Selection Approach to detect Seasonal Unit Roots," Tinbergen Institute Discussion Papers 96-180/7, Tinbergen Institute.
    6. Paulo Rodrigues & Denise Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 985-1004.
    7. John Ashworth & Barry Thomas, 1999. "Patterns of seasonality in employment in tourism in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 6(11), pages 735-739.

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