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A Combined Nonparametric Test for Seasonal Unit Roots

Listed author(s):
  • Kunst, Robert M.

    (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria and University of Vienna)

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination exploits two main characteristics of seasonal unit-root models, the range expansion typical of integrated processes and the low frequency of changes among main seasonal shapes. The combination succeeds in achieving power gains over the component tests. Simulations explore the finite-sample behavior relative to traditional parametric tests.

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File URL: http://www.ihs.ac.at/publications/eco/es-303.pdf
File Function: First version, 2014
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Paper provided by Institute for Advanced Studies in its series Economics Series with number 303.

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Length: 33 pages
Date of creation: Mar 2014
Handle: RePEc:ihs:ihsesp:303
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  1. D. S. Prasada Rao & Bart van Ark, 2013. "Introduction," Chapters,in: World Economic Performance, chapter 1, pages 1-6 Edward Elgar Publishing.
  2. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
  3. Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
  4. Robert M. Kunst & Philip Hans Franses, 2011. "Testing for Seasonal Unit Roots in Monthly Panels of Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 469-488, 08.
  5. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-252, July.
  6. T. Heller & R. Huet & Bénédicte Vidaillet, 2013. "Introduction," Post-Print hal-00848256, HAL.
  7. Burridge, Peter & Guerre, Emmanuel, 1996. "The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test," Econometric Theory, Cambridge University Press, vol. 12(04), pages 705-723, October.
  8. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 124(1), pages 33-54, January.
  9. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521565882, October.
  10. Balcombe, Kelvin, 1999. " Seasonal Unit Root Tests with Structural Breaks in Deterministic Seasonality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 569-582, November.
  11. Hylleberg, Svend, 1986. "Seasonality in Regression," Elsevier Monographs, Elsevier, edition 1, number 9780123634559 edited by Shell, Karl.
  12. Kunst, Robert M., 2014. "A Combined Nonparametric Test for Seasonal Unit Roots," Economics Series 303, Institute for Advanced Studies.
  13. Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series 233, Institute for Advanced Studies.
  14. Felipe Aparicio & Alvaro Escribano & Ana E. Sipols, 2006. "Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 545-576, July.
  15. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
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