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A seasonal root test with Stata


  • 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.

Suggested Citation

  • Domenico Depalo, 2009. "A seasonal root test with Stata," Italian Stata Users' Group Meetings 2008 07, Stata Users Group.
  • Handle: RePEc:boc:isug08:07

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    Cited by:

    1. Hooi Hooi Lean & Vinod Mishra & Russell Smyth, 2016. "Conditional convergence in US disaggregated petroleum consumption at the sector level," Applied Economics, Taylor & Francis Journals, vol. 48(32), pages 3049-3061, July.
    2. Moayedi, Vafa, 2012. "Detecting Islamic Calendar Effects on U.S. Meat Consumption: Is the Muslim Population Larger than Widely Assumed?," MPRA Paper 41554, University Library of Munich, Germany.

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