Using different null hypotheses to test for seasonal unit roots in economic time series
Antonio Aguirre and
Andreu Sanso ()
Económica, 2002, vol. XLVIII, issue 1-2, pages 3-26
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.
JEL-codes: C4 (search for similar items in EconPapers)
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Working Paper: Using different null hypotheses to test for seasonal unit roots in economic time series (1999)
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Persistent link: /RePEc:lap:journl:525
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