A sequential approach to testing seasonal unit roots in high frequency data

Paulo Rodrigues and Philip Hans Franses

Journal of Applied Statistics, 2005, vol. 32, issue 6, 555-569

Abstract: In this paper we introduce a sequential seasonal unit root testing approach which explicitly addresses its application to high frequency data. The main idea is to see which unit roots at higher frequency data can also be found in temporally aggregated data. We illustrate our procedure to the analysis of monthly data, and we find, upon analysing the aggregated quarterly data, that a smaller amount of test statistics can sometimes be considered. Monte Carlo simulation and empirical illustrations emphasize the practical relevance of our method.

Keywords: Seasonal unit roots; temporal aggregation (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/02664760500078912 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A sequential approach to testing seasonal unit roots in high frequency data (2003)
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:taf:japsta:v:32:y:2005:i:6:p:555-569

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/CJAS20

DOI: 10.1080/02664760500078912

Access Statistics for this article

Journal of Applied Statistics is currently edited by Robert Aykroyd

More articles in Journal of Applied Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst (chris.longhurst@tandf.co.uk).