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Testing for seasonal unit roots by frequency domain regression

Author

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  • Marcus J. Chambers
  • Joanne S. Ercolani
  • A. M. Robert Taylor

Abstract

This paper develops univariate seasonal unit root tests based on spectral regression estimators. An advantage of the frequency domain approach is that it enables serial correlation to be treated non-parametrically. We demonstrate that our proposed statistics have pivotal limiting distributions under both the null and near seasonally integrated alternatives when we allow for weak dependence in the driving shocks. This is in contrast to the popular seasonal unit root tests of, among others, Hylleberg et al. (1990) which treat serial correlation parametrically via lag augmentation of the test regression. Moreover, our analysis allows for (possibly infinite order) moving average behaviour in the shocks, while extant large sample results pertaining to the Hylleberg et al. (1990) type tests are based on the assumption of a finite autoregression. The size and power properties of our proposed frequency domain regression-based tests are explored and compared for the case of quarterly data with those of the tests of Hylleberg et al. (1990) in simulation experiments.

Suggested Citation

  • Marcus J. Chambers & Joanne S. Ercolani & A. M. Robert Taylor, 2010. "Testing for seasonal unit roots by frequency domain regression," Discussion Papers 10/02, University of Nottingham, Granger Centre for Time Series Econometrics.
    • Handle: RePEc:not:notgts:10/02
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    File URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/10-02.pdf
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    Cited by:

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    3. Burak Eroglu, 2017. "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers 1706, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
    4. Burak Eroglu & Kemal Caglar Gogebakan & Mirza Trokic, 2017. "Fractional Seasonal Variance Ratio Unit Root Tests," Working Papers 1707, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.

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    More about this item

    Keywords

    Seasonal unit root tests; moving average; frequency domain regression; spectral density estimator; Brownian motion;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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