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A seasonal root test with Stata

Listed author(s):
  • Domenico Depalo


    (Università di Roma “Tor Vergata”)

Many economic time series exhibit important systematic fluctuations within the year, i.e., seasonality. Differently from usual practice, we argue that using original data should always be considered, although an unadjusted data process is more complicated than that of seasonally adjusted data. Motivations to use not-adjusted data come from the information contained in their peak and trough and from economic theory. One major complication is the unit root at seasonal frequencies. In this paper, we tackle this complication by implementing a test to identify the source of seasonality. In particular, we follow Hylleberg et al. (1993) for quarterly data. A practical example from Permanent Income Hypothesis emphasizes the utility of the command with macroeconomic time series.

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Paper provided by Stata Users Group in its series Italian Stata Users' Group Meetings 2008 with number 07.

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Date of creation: 19 Jan 2009
Handle: RePEc:boc:isug08:07
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