Seasonal Nonstationarity and Near-Nonstationarity

Eric Ghysels (), Denise Osborn () and Paulo Rodrigues ()

CIRANO Working Papers from CIRANO

Abstract: This paper presents a detailed discussion of the characteristics of seasonal integrated and near integrated processes, as well as the asymptotic properties of seasonal unit root tests. More specifically, the characteristics of a seasonal random walk and a more general seasonal integrated ARMA process are analysed. Also the implications of modelling nonstationary stochastic season-ality as deterministic are highlighted. A further observation made includes the asymptotic distributions and power functions of several seasonal unit root tests.

Dans cet article, nous étudions les propriétés des processsus avec racines unitaires saisonnières et avec racines quasi-unitaires. Nous traitons le cas des marchés aléatoires ainsi que les processus plus généraux et analysons les distributions des estimateurs et les fonctions de puissances de plusieurs tests.

Keywords: Deterministic/stochastic seasonality; seasonal unit roots; Saisonnalité déterministique et stochastique; racines unitaires saisonnières (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 1999-02-01
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Persistent link: http://EconPapers.repec.org/RePEc:cir:cirwor:99s-05

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