A Nonparametric Test for Seasonal Unit Roots
Robert Kunst ()
No 233, Economics Series from Institute for Advanced Studies
We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order to cope with the sensitivity of the original RUR test to autocorrelation under its null of a unit root, we suggest an augmentation step by autoregression. We present some evidence on the size and power of our procedure and we illustrate it by applications to a commodity price and to an unemployment rate.
Keywords: Seasonality; Nonparametric test; Unit roots (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
Pages: 33 pages
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:ihs:ihsesp:233
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