Numerical distribution functions for seasonal stability tests

Ignacio Díaz-Emparanza and M. Paz Moral

Statistics & Probability Letters, 2014, vol. 86, issue C, 44-49

Abstract: The seasonal stability tests of Canova and Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distributions of the CH tests are unknown for small samples. We present a method for numerically computing 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 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2013.12.002

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