On Periodic Structures and Testing for Seasonal Unit Roots

Eric Ghysels (), Alastair Hall and Hahn Lee ()

CIRANO Working Papers from CIRANO

Abstract: The standard testing procedures for seasonal unit roots developed so far have been based0501nly on time invariant ARMA processes with AR polynomials involving seasonal differencing. One attractive alternative is to employ periodic ARMA models in which the coefficients are allowed to vary with the season. In this paper, we present convenient procedures for testing for the presence of unit roots at the zero and seasonal frequencies in periodic time series. The limiting distributions of these statistics are derived and tabulated. Simulation evidence illustrates the advantages of allowing for periodicity in this context when it is present. The tests are illustrated via applications to macroeconomic and ozone level data. Les procédures standards pour tester la présence de racines unitaires aux fréquences saisonnières sont basées sur une représentation invariante ARIMA. Une classe alternative de processus est celle des modèles à variations périodiques des paramètres. Dans cette étude nous présentons des tests de racines unitaires qui prennent explicitement en compte une structure périodique. Les distributions asymptotiques sont dérivées. Une étude Monte Carlo démontre les avantages de nos tests par rapport aux procédures standards.

Keywords: Periodic models; Seasonal unit roots, Modèles périodiques; Racines unitaires saisonières (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 1995-03-01
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://cirano.qc.ca/files/publications/95s-21.pdf

Related works:
Working Paper: On Periodic Structures and Testing for Seasonal Unit Roots (1995)
Working Paper: On Periodic Structures and Testing for Seasonal Unit Roots (1995)
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:cir:cirwor:95s-21

Access Statistics for this paper

More papers in CIRANO Working Papers from CIRANO Contact information at EDIRC.
Bibliographic data for series maintained by Webmaster ().