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A seasonal unit-root test with Stata

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  • Domenico Depalo

    (Bank of Italy)

Abstract

Many economic time series exhibit important systematic fluctuations within the year, i.e., seasonality. In contrast to usual practice, I argue that using original data should always be considered, although the process is more compli- cated than that of using seasonally adjusted data. Motivations to use unadjusted data come from the information contained in their peaks and troughs and from economic theory. One major complication is the possible unit root at seasonal frequencies. In this article, I tackle the issue of implementing a test to identify the source of seasonality. In particular, I follow Hylleberg et al. (1990, Journal of Econometrics 44: 215–238) for quarterly data. Copyright 2009 by StataCorp LP.

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  • Domenico Depalo, 2009. "A seasonal unit-root test with Stata," Stata Journal, StataCorp LP, vol. 9(3), pages 422-438, September.
    • Handle: RePEc:tsj:stataj:v:9:y:2009:i:3:p:422-438
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    References listed on IDEAS

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    3. 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.
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    7. Gianluca Cubadda, 2001. "Complex Reduced Rank Models For Seasonally Cointegrated Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 497-511, September.
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    9. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
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    Cited by:

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    3. Silva, Andres & Dharmasena, Senarath, 2013. "Modeling Seasonal Unit Roots as a Simple Empirical Method to Handle Autocorrelation in Demand Systems: Evidence from UK Expenditure Data," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 149928, Agricultural and Applied Economics Association.
    4. Moayedi, Vafa, 2012. "Detecting Islamic Calendar Effects on U.S. Meat Consumption: Is the Muslim Population Larger than Widely Assumed?," MPRA Paper 41554, University Library of Munich, Germany.

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