On the limiting behaviour of augmented seasonal unit root tests

Robert Taylor

Economics Bulletin, 2005, vol. 3, issue 3, 1-10

Abstract: In a recent paper, Taylor (2003) has shown that the seasonal unit root tests of Dickey et al. (1984) [DHF] have non-degenerate limiting distributions for series which admit unit roots at any of the zero or seasonal frequencies. In this note we go a stage further and show that the standard practice of augmenting the DHF regression with lagged dependent variables alters the limiting distributions of the DHF statistics in the above scenario. Associated Monte Carlo evidence shows that this may either increase or decrease (possibly even below the nominal level) the rejection frequencies of the tests, relative to the unaugmented case.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2005-01-17
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2005/Volume3/EB-04C20032A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-04c20032

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().