TESTING FOR SEASONAL UNIT ROOTS IN MONTHLY DATA

Philip Hans Franses

No 272393, Econometric Institute Archives from Erasmus University Rotterdam

Abstract: In Hylleberg, Engle, Granger and Yoo (1988) a method is proposed to test for seasonal unit roots in the presence of other unit roots and seasonal processes. This method is applied to quarterly time series. In the present paper the application of the method is extended to time series consisting of monthly observations. Tables with critical values for several test statistics are provided. A small empirical power investigation is also conducted.

Keywords: Agricultural and Food Policy; Research Methods/ Statistical Methods (search for similar items in EconPapers)
Pages: 23
Date: 1990
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:eureia:272393

DOI: 10.22004/ag.econ.272393

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