Regression-Based Seasonal Unit Root Tests
The contribution of this paper is three-fold. Firslty, a characterisation of the sub-hypotheses comprising the seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests test. Secondly, it proposes regrssion-based tests for the seasonal unit root hypothesis which allow a general seasonal aspect for the data and are similar both exactly and asymptotically with respect to initial values and seasonal drift parameters. Thirdly, simulation evidence is given on the size and power properties of the statistics presented in this paper which has important implications for how tests of the seasonal unit root hypothesis should be conducted.
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- 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.
- 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.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
- Joseph Beaulieu, J. & Miron, Jeffrey A., 1993.
"Seasonal unit roots in aggregate U.S. data,"
Journal of Econometrics,
Elsevier, vol. 55(1-2), pages 305-328.
- Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Burridge, Peter & Robert Taylor, A. M., 2004.
"Bootstrapping the HEGY seasonal unit root tests,"
Journal of Econometrics,
Elsevier, vol. 123(1), pages 67-87, November.
- Robert Taylor & Peter Burridge, 2004. "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings 125, Econometric Society.
- repec:cup:cbooks:9780521565882 is not listed on IDEAS
- 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.
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