Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production

Joakim Westerlund, Mauro Costantini, Paresh Narayan () and Stephan Popp
Additional contact information
Stephan Popp: University of Duisburg–Essen, Postal: Germany

No 377, Working Papers in Economics from University of Gothenburg, Department of Economics

Abstract: Some unit root testing situations are more difficult than others. In the case of quarterly industrial production there is not only the seasonal variation that needs to be considered but also the occasionally breaking linear trend. In the current paper we take this as our starting point to develop three new seasonal unit root tests that allow for a break in both the seasonal mean and linear trend of a quarterly time series. The asymptotic properties of the tests are derived and investigated in small-samples using simulations. In the empirical part of the paper we consider as an example the industrial production of 13 European countries. The results suggest that for most of the series there is evidence of stationary seasonality around an otherwise nonseasonal unit root.

Keywords: Seasonal unit root tests; Structural breaks; Linear time trend; Industrial production (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2009-09-11
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/2077/21047 (text/html)

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: https://EconPapers.repec.org/RePEc:hhs:gunwpe:0377

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers in Economics from University of Gothenburg, Department of Economics Department of Economics, School of Business, Economics and Law, University of Gothenburg, Box 640, SE 405 30 GÖTEBORG, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Jessica Oscarsson ().