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Tests de racines unitaires multiples et saisonnalité

  • F. Barthélémy

[eng] Multiple unit root tests and seasonality To test multiple unit roots, Dickey et Pantula have shown that the usual upward testing sequence, which consists in testing first for one unit root, is statistically false. They built a downward testing sequence where the highest integration level is tested first. The aim of this paper is to extend this result to the case of seasonal unit roots. [fre] Tests de racines unitaires multiples et saisonnalité Pour tester la présence de racines unitaires multiples, Dickey et Pantula ont montré que la procédure séquentielle ascendante, qui consiste à tester en premier la présence d'une seule racine unitaire, est statistiquement fausse. Ils ont construit un test séquentiel descendant où l'on teste en premier le plus grand nombre de racines unitaires possibles. L'objet de cet article est d'étendre ce résultat au cas où les racines sont saisonnières.

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Paper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 97-04.

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Date of creation: 1997
Date of revision:
Handle: RePEc:ema:worpap:97-04
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  1. Beaulieu, J Joseph & Miron, Jeffrey A, 1992. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Economic Journal, Royal Economic Society, vol. 102(413), pages 772-88, July.
  2. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  3. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-61, October.
  4. Barthelemy, Fabrice & Lubrano, Michel, 1996. "Unit roots tests and SARIMA models," Economics Letters, Elsevier, vol. 50(2), pages 147-154, February.
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