Testing for Seasonal Unit Roots with Temporally Aggregated Time Series

Gabriel Pons Rotger

Economics Working Papers from Department of Economics and Business Economics, Aarhus University

Abstract: The temporal aggregation effect on seasonal unit roots and its implications for seasonal unit root testing are discussed. The aggregation effect allows to test with any HEGY-type method for integration at the harmonic frequencies through the Nyquist frequency of properly temporally aggregated series.

Keywords: Temporal aggregation; seasonal unit roots; Hegy test (search for similar items in EconPapers)
JEL-codes: C22 C43 C52 (search for similar items in EconPapers)
Pages: 20
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