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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

Abstract: 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)
Date: 2002
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Related works:
Working Paper: Using different null hypotheses to test for seasonal unit roots in economic time series (1999) Downloads
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