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Using different null hypotheses to test for seasonal unit roots in economic time series

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Listed:
  • Antonio Aguirre

    (Universidade Federal de Minas Gerais (UFMG))

  • Andreu Sansó

    (Universidad de Barcelona)

Abstract

This paper tries to make a contribution by discussing the application of different testing procedures to determine the seasonal properties of quarterly data. We focus on the Hylleberg et al. and on the Canova-Hansen tests. The former detect a unit root at the zero frequency but no seasonal unit roots. The latter reveal that the series displays a statistically significant seasonal pattern with changing coefficients of some seasonal dummy variables. The CH tests finding of a seasonal unit root at frequency ? does not agree with the HEGY-type test results. An explanation is given to try to interpret these two contradictory outcomes.

Suggested Citation

  • Antonio Aguirre & Andreu Sansó, 2002. "Using different null hypotheses to test for seasonal unit roots in economic time series," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0(1-2), pages 3-26, January-D.
    • Handle: RePEc:akh:journl:525
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    File URL: https://revistas.unlp.edu.ar/Economica/article/view/8513/7061
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    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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