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Testing common deterministic seasonality

Author

Listed:
  • Franses, Ph.H.B.F.
  • Kunst, R.M.

Abstract

We propose methods to test for common deterministic seasonality, while allowing for possible seasonal unit roots. For this purpose, we consider panel methods, where we allow for individual and for common dynamics. To decide on the presence of seasonal unit roots, we introduce a decision-based approach, for which we derive the relevant critical values. We introduce an estimation method for our specific panel models. Our application concerns 16 quarterly industrial production series. One of our findings is that there is not much evidence for common deterministic seasonality.

Suggested Citation

  • Franses, Ph.H.B.F. & Kunst, R.M., 1999. "Testing common deterministic seasonality," Econometric Institute Research Papers EI 9905-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:1560
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    Cited by:

    1. Philip Hans Franses, 2006. "On modeling panels of time series," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 60(4), pages 438-456, November.

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