Testing for seasonal unit roots in monthly panels of time series
Robert Kunst () and
Philip Hans Franses
No EI 2009-05, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel counterpart to the univariate RURS test that relies on counting extrema in time series. All methods are applied to an empirical data set on tourism in Austrian provinces. The power properties of the tests are evaluated in simulation experiments that are tuned to the tourism data.
Keywords: nonparametric test; panel; seasonality; tourism; unit roots (search for similar items in EconPapers)
JEL-codes: C12 C14 C23 (search for similar items in EconPapers)
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Journal Article: Testing for Seasonal Unit Roots in Monthly Panels of Time Series (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:14861
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