Multiple Unit Roots in Periodic AutoregressionH. Peter Boswijk (), Philip Hans Franses () and Niels Haldrup () Economics Working Papers from School of Economics and Management, University of Aarhus Abstract: In this paper we propose a model selection strategy for a univariate periodic autoregressive time series which involves tests for one or more unit roots and for parameter restrictions corresponding to seasonal unit roots and mutiple unit roots at the zero frequency. Examples of models that are considered are variants of the seasonal unit roots models and the periodic integration model. We show that the asymptotic distributions of various test statistics are the same as well-known distributions which are already tabulated. We apply our strategy to three empirical series to illustrate its of use. We find that evidence for seasonal unit roots based on nonperiodic models disappears when periodic representations are considered. Keywords: TIME SERIES; DISTRIBUTION (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:aah:aarhec:1996-2 Access Statistics for this paper More papers in Economics Working Papers from School of Economics and Management, University of Aarhus |
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