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On Periodic Structures and Testing for Seasonal Unit Roots

Author

Listed:
  • Ghysels, E.
  • Hall, A.
  • Lee, H.S.

Abstract

The standard testing procedures for seasonal unit roots developed so far have been based0501nly on time invariant ARMA processes with AR polynomials involving seasonal differencing. One attractive alternative is to employ periodic ARMA models in which the coefficients are allowed to vary with the season. In this paper, we present convenient procedures for testing for the presence of unit roots at the zero and seasonal frequencies in periodic time series. The limiting distributions of these statistics are derived and tabulated. Simulation evidence illustrates the advantages of allowing for periodicity in this context when it is present. The tests are illustrated via applications to macroeconomic and ozone level data. Les procédures standards pour tester la présence de racines unitaires aux fréquences saisonnières sont basées sur une représentation invariante ARIMA. Une classe alternative de processus est celle des modèles à variations périodiques des paramètres. Dans cette étude nous présentons des tests de racines unitaires qui prennent explicitement en compte une structure périodique. Les distributions asymptotiques sont dérivées. Une étude Monte Carlo démontre les avantages de nos tests par rapport aux procédures standards.
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Suggested Citation

  • Ghysels, E. & Hall, A. & Lee, H.S., 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," Cahiers de recherche 9518, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Handle: RePEc:mtl:montec:9518
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    Cited by:

    1. Amigues, Jean-Pierre & Favard, Pascal & Gaudet, Gerard & Moreaux, Michel, 1998. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute Is Limited," Journal of Economic Theory, Elsevier, vol. 80(1), pages 153-170, May.
    2. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
    3. Politis, Dimitris, 2016. "HEGY test under seasonal heterogeneity," University of California at San Diego, Economics Working Paper Series qt2q4054kf, Department of Economics, UC San Diego.
    4. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    5. Christiano, Lawrence J. & Todd, Richard M., 2002. "The conventional treatment of seasonality in business cycle analysis: does it create distortions?," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 335-364, March.
    6. Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies.
    7. Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 221-241.

    More about this item

    Keywords

    UNIT ROOTS; TESTS;

    JEL classification:

    • 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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