Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles

Gabriel Pons Rotger

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

Abstract: The effects of systematic sampling and temporal aggregation on the seasonal cycle model (see Miron, 1993) and the seasonally integrated process (see Hylleberg et al., 1990) are discussed. The temporal aggregation theory is used to improve the sequential test for monthly seasonal unit roots of Rodrigues and Franses (2003). It is shown by simulation that the monthly sequential test has better finite sample properties than the BM test (see Beaulieu and Miron, 1993). The new test is applied to monthly US Industrial Production and, contrary to the BM test, rejects the presence of any seasonal unit root.

Keywords: Temporal aggregation; seasonal unit roots; sequential test (search for similar items in EconPapers)
JEL-codes: C22 C43 C52 (search for similar items in EconPapers)
Pages: 26
Date: 2004-04-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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