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

The contribution of this paper is twofold. First we extend the large sample results provided for the augmented Dickey-Fuller test by Said and Dickey (1984) and Chang and Park (2002) to the case of the augmented seasonal unit root tests of Hylleberg et al. (1990) [HEGY], inter alia. Our analysis is performed under the same conditions on the innovations as in Chang and Park (2002), thereby allowi...

Both seasonal unit roots and periodic variation can be prevalent in data. In the testing of under variation, validity existing methods, such as HEGY test, remains unknown. The behavior augmented test unaugmented is analyzed. It turns out that asymptotic null distributions statistics single at 1 or − when there are identical to no variation. On other hand, any coexistence 1, , i non-standard dif...

Deciding whether seasonality is of a stochastic nature, and thus slowly changing over time, or deterministic and thus repeating in the same way each season can have a substantial impact on forecast accuracy. Tests for stochastic seasonality, called seasonal unit root tests, have been developed for certain common seasonal periods, like 12 (monthly data) 4 and 2, but until now have not been avail...