Economics at your fingertips  

Seasonal Nonstationarity and Near-Nonstationarity

Eric Ghysels (), Denise Osborn () and Paulo Rodrigues ()

CIRANO Working Papers from CIRANO

Abstract: This paper presents a detailed discussion of the characteristics of seasonal integrated and near integrated processes, as well as the asymptotic properties of seasonal unit root tests. More specifically, the characteristics of a seasonal random walk and a more general seasonal integrated ARMA process are analysed. Also the implications of modelling nonstationary stochastic season-ality as deterministic are highlighted. A further observation made includes the asymptotic distributions and power functions of several seasonal unit root tests. Dans cet article, nous étudions les propriétés des processsus avec racines unitaires saisonnières et avec racines quasi-unitaires. Nous traitons le cas des marchés aléatoires ainsi que les processus plus généraux et analysons les distributions des estimateurs et les fonctions de puissances de plusieurs tests.

Keywords: Deterministic/stochastic seasonality; seasonal unit roots; Saisonnalité déterministique et stochastique; racines unitaires saisonnières (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 1999-02-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)

Related works:
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:

Access Statistics for this paper

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

Page updated 2019-08-12
Handle: RePEc:cir:cirwor:99s-05