Seasonal Stability Tests in gretl. An Application to International Tourism Data

Ignacio Díaz-Emparanza and María Paz Moral Zuazo

No 1134-8984, BILTOKI from Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)

Abstract: The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small samples. We present a method to numerically compute critical values and P-values for the CH tests for any sample size and any seasonal periodicity. In fact this method is applicable to the types of seasonality which are commonly in use, but also to any other.

Keywords: seasonality; unit roots; surface response analysis; Canova-Hansen (search for similar items in EconPapers)
Date: 2013-09
New Economics Papers: this item is included in nep-ecm and nep-tur
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Citations: View citations in EconPapers (1)

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Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain

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