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A Combined Nonparametric Test for Seasonal Unit Roots

Author

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  • Kunst, Robert M.

    (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria and University of Vienna)

Abstract

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination exploits two main characteristics of seasonal unit-root models, the range expansion typical of integrated processes and the low frequency of changes among main seasonal shapes. The combination succeeds in achieving power gains over the component tests. Simulations explore the finite-sample behavior relative to traditional parametric tests.

Suggested Citation

  • Kunst, Robert M., 2014. "A Combined Nonparametric Test for Seasonal Unit Roots," Economics Series 303, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:303
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    File URL: https://irihs.ihs.ac.at/id/eprint/2251
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    References listed on IDEAS

    as
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    7. Hylleberg, Svend, 1986. "Seasonality in Regression," Elsevier Monographs, Elsevier, edition 1, number 9780123634559 edited by Shell, Karl.
    8. Kelvin Balcombe, 1999. "Seasonal Unit Root Tests with Structural Breaks in Deterministic Seasonality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 569-582, November.
    9. Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series 233, Institute for Advanced Studies.
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    More about this item

    Keywords

    Seasonality; nonparametric tests; visualization; time series;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • 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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