Detecting seasonal unit roots in a structural time series model

Yoshinori Kawasaki and Philip Hans Franses

Journal of Applied Statistics, 2003, vol. 30, issue 4, 373-387

Abstract: In this paper, we propose to detect seasonal unit roots within the context of a structural time series model. Such a model is often found to be useful in practice. Using Monte Carlo simulations, we show that our method works well. We illustrate our approach for several quarterly macroeconomic time series variables.

Date: 2003
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DOI: 10.1080/0266476032000035412

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