Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

Gabriel Pons Rotger

Journal of Time Series Analysis, 2006, vol. 27, issue 2, 191-209

Abstract: Abstract. This paper proposes a method for testing seasonal unit roots that combines monthly and quarterly Hylleberg, Engle, Granger and Yoo (HEGY) tests. The new approach is more powerful than the method that does not use quarterly information, i.e. the monthly HEGY test. An empirical illustration of the proposed approach is given for monthly US Industrial Production.

Date: 2006
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https://doi.org/10.1111/j.1467-9892.2005.00463.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:27:y:2006:i:2:p:191-209

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