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Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

Michael Jansson and Morten Nielsen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: In an important generalization of zero frequency autoregressive unit root tests, Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots at the seasonal frequencies in quarterly time series. We develop likelihood ratio tests for seasonal unit roots and show that these tests are "nearly efficient" in the sense of Elliott, Rothenberg, and Stock (1996), i.e. that their local asymptotic power functions are indistinguishable from the Gaussian power envelope. Currently available nearly efficient testing procedures for seasonal unit roots are regression-based and require the choice of a GLS detrending parameter, which our likelihood ratio tests do not.

Keywords: Likelihood Ratio Test; Seasonal Unit Root Hypothesis (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 17
Date: 2009-11-24
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots (2011) Downloads
Working Paper: Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots (2009) Downloads
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