Bayesian analysis of seasonal unit roots and seasonal mean shifts

Testing for Seasonal Unit Roots

This paper examines, both theoretically and through Monte Carlo analysis, the implications of applying the HEGY seasonal root tests to a process that is periodically integrated. As an important special case, the random walk process is also considered. In the context of the HEGY regression, the asymptotic distribution of the zero frequency test statistic is dependent on the coefficients of the p...

An Empirical Study of Seasonal Unit Roots in Forecasting

We assess the usefulness of pre-testing for seasonal roots, based on the HEGY approach, for outof-sample forecasting. We show that if there are shifts in the deterministic seasonal components then the imposition of unit roots can partially robustify sequences of rolling forecasts, yielding improved forecast accuracy. We illustrate with two empirical examples where more accurate forecasts can be...

On Phillips-perron Type Tests for Seasonal Unit Roots

In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238)+ The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range ~0,p#+ Monte Carlo simulations suggest that the test may have more powe...

On augmented HEGY tests for seasonal unit roots

The contribution of this paper is twofold. First we extend the large sample results provided for the augmented Dickey-Fuller test by Said and Dickey (1984) and Chang and Park (2002) to the case of the augmented seasonal unit root tests of Hylleberg et al. (1990) [HEGY], inter alia. Our analysis is performed under the same conditions on the innovations as in Chang and Park (2002), thereby allowi...

Testing for Seasonal Unit Roots in Periodic Integrated Autoregressive Processes