Testing for Unit Roots in Semi-Annual Data

Sandra G. Feltham () and David Giles

No 9912, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: We consider the problem of testing for unit roots at the zero and seasonal frequencies in time-series data which are recorded semi-annually. The proposed methodology follows that of Hylleberg et al. (1990) and Beaulieu and Miron (1993) for quarterly and monthly data respectively. The non-standard asymptotic distributions for the single and joint tests are derived, and various percentiles of the finite-sample distributions are tabulated. Monte Carlo simulation is used to investigate the powers of the tests, and we illustrate their application to several semi-annual economic time-series.

Keywords: Unit roots; non-stationary data; seasonality; semi-annual data (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 29 pages
Date: 1999-08-24
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: ISSN 1485-6441
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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