Regression-Based Seasonal Unit Root Tests

Richard J. Smith () and Robert Taylor

Discussion Papers from Department of Economics, University of Birmingham

Abstract: The contribution of this paper is three-fold. Firslty, a characterisation of the sub-hypotheses comprising the seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests test. Secondly, it proposes regrssion-based tests for the seasonal unit root hypothesis which allow a general seasonal aspect for the data and are similar both exactly and asymptotically with respect to initial values and seasonal drift parameters. Thirdly, simulation evidence is given on the size and power properties of the statistics presented in this paper which has important implications for how tests of the seasonal unit root hypothesis should be conducted.

Keywords: TIME SERIES; ECONOMETRICS; TESTING (search for similar items in EconPapers)
JEL-codes: C22 C12 (search for similar items in EconPapers)
Date: 1999
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Related works:
Working Paper: Regression-based seasonal unit root tests
Journal Article: REGRESSION-BASED SEASONAL UNIT ROOT TESTS (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:bir:birmec:99-15

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