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Decisions on Seasonal Unit Roots

Author

Listed:
  • Robert M. Kunst
  • Michael Reutter

Abstract

Decisions on the presence of seasonal unit roots in economic time series are commonly taken on the basis of statistical hypothesis tests. Some of these tests have absence of unit roots as the null hypothesis, while others use unit roots as their null. Following a suggestion by Hylleberg (1995) to combine such tests in order to reach a clearer conclusion, we evaluate the merits of such test combinations on the basis of a Bayesian decision setup. We find that the potential gains over a pure application of the most common test due to Hylleberg et al. (1990) are small.

Suggested Citation

  • Robert M. Kunst & Michael Reutter, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series 286, CESifo.
    • Handle: RePEc:ces:ceswps:_286
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    References listed on IDEAS

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    1. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
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    7. Roselyne Joyeux, 1992. "Tests For Seasonal Cointegration Using Principal Components," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(2), pages 109-118, March.
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    10. Philip Hans Franses & Robert M. Kunst, 1999. "On the Role of Seasonal Intercepts in Seasonal Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(3), pages 409-433, August.
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    13. repec:bla:obuest:v:61:y:1999:i:3:p:409-33 is not listed on IDEAS
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    Cited by:

    1. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies.
    2. Kunst, Robert M., 2005. "Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing, and Joint Confirmation," Economics Series 177, Institute for Advanced Studies.
    3. Kunst, Robert M., 2002. "Testing for Stationarity in a Cointegrated System," Economics Series 117, Institute for Advanced Studies.
    4. Jumah, Adusei & Kunst, Robert M., 2006. "Seasonal Cycles in European Agricultural Commodity Prices," Economics Series 192, Institute for Advanced Studies.

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