Testing for Seasonal Unit Roots
نویسنده
چکیده
This paper examines, both theoretically and through Monte Carlo analysis, the implications of applying the HEGY seasonal root tests to a process that is periodically integrated. As an important special case, the random walk process is also considered. In the context of the HEGY regression, the asymptotic distribution of the zero frequency test statistic is dependent on the coefficients of the periodic process, with the distribution of the t-ratio identical to the familiar Dickey-Fuller distribution in the random walk case. The test statistics for unit roots at seasonal frequencies are also shown theoretically to depend on the coefficients of the periodic process. In practice, the zero frequency HEGY statistic captures well the single unit root of the periodic integrated process provided the regression is sufficiently augmented, but there may be a high probability of incorrectly concluding that the process is seasonally integrated.
منابع مشابه
Texto Para Discussão N° 115 Testing for Seasonal Unit Roots in a Quarterly Series of Beef Cattle Prices in the State of São Paulo (brazil)
2 Ficha catalográfica 330.115 A284t 1997 Aguirre, Antônio. Testing for seasonal unit roots in a quarterly series of beef cattle prices in the state of São Paulo (Brazil). Belo
متن کاملAn Empirical Study of Seasonal Unit Roots in Forecasting
We assess the usefulness of pre-testing for seasonal roots, based on the HEGY approach, for outof-sample forecasting. We show that if there are shifts in the deterministic seasonal components then the imposition of unit roots can partially robustify sequences of rolling forecasts, yielding improved forecast accuracy. We illustrate with two empirical examples where more accurate forecasts can be...
متن کاملOn Testing for Randomized Unit Root and Seasonal Unit Root
A lot of time series analysis in economics and nance is to determine whether a unit root and/or seasonal unit root is present in the data. These tests are usually based on unit root tests orginally developed by Dickey & Fuller(1981). Testing for the presence of a seasonal root has been considered by Dickey, Hasza & Fuller (1984). Li(1991) considered tests for the existence of a seasonal and a r...
متن کاملTesting for seasonal unit roots in monthly panels of time series
We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel counterpart to the univariate RURS test that relies on counting extrema in time series. All methods are applied to an empirical data set on tourism in Austri...
متن کاملTesting Fractional Integration with Monthly Data
Financial support from ESRC grant number L116251013, Macroeconomic Modelling and Policy Analysis in a Changing Word is gratefully acknowledged. The usual disclaimer applies. Seasonal roots can help to explain the seasonal fluctuations in macroeconomic time series. In this paper we concentrate on monthly data and look at different versions of Robinson's (1994) tests for testing unit roots and ot...
متن کامل