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Seasonal unit roots in trade variables

Author

Listed:
  • Carol Alexander

    (University of Sussex)

  • Manuel Cantavella Jordá

    (Universitat Jaume I)

Abstract

In this paper we examine the presence of seasonal unit roots in trade variables for Germany, France, the United Kingdom, and Italy, using the procedure developed by Hylleberg, Engle, Granger, and Yoo (1990) [HEGY]. Both quarterly and monthly data reject the presence of unit roots at most seasonal frequencies, more frequently in quarterly than in monthly data. This has important implications for econometric modeling of trade balance, exchange rates and income in European Union (EU) countries. En este trabajo se examina la posible presencia de raíces unitarias estacionales en variables de comercio para Alemania, Francia, Reino Unido e Italia utilizando la metodología de Hylleberg, Engle, Granger y Yoo (1990) [HEGY]. Tanto las series mensuales como las trimestrales rechazan la presencia de raíces unitarias en la mayor parte de las frecuencias estacionales, de manera más frecuente en datos trimestrales que en datos mensuales. Esto puede tener implicaciones interesantes en la modelización econométrica de variables de comercio como balanza comercial, tipos de cambio y renta, por lo menos para países de la Unión Europea (EU).

Suggested Citation

  • Carol Alexander & Manuel Cantavella Jordá, 1997. "Seasonal unit roots in trade variables," Working Papers. Serie EC 1997-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:1997-13
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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-1997-13.pdf
    File Function: Fisrt version / Primera version, 1997
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    References listed on IDEAS

    as
    1. Bahmani-Oskooee, Mohsen, 1985. "Devaluation and the J-Curve: Some Evidence from LDCs," The Review of Economics and Statistics, MIT Press, vol. 67(3), pages 500-504, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Raíz unitaria estacional; metodología HEGY; ciclo; periodo; frecuencia; filtro Seasonal unit root; HEGY procedure; cycle; period; frequency; filter;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

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