On Periodic Structures and Testing for Seasonal Unit Roots

Testing for Seasonal Unit Roots in Periodic Integrated Autoregressive Processes

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...

On Regression-based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity∗

In this paper we analyse the behaviour of regression-based tests for seasonal unit roots when the error process is periodically heteroscedastic. We show, using the case of quarterly data to illustrate, that the limiting null distributions of tests for unit roots at the zero and Nyquist frequencies are unaffected by the presence of periodic heteroscedastic behaviour in the error process. Tests a...

On Testing for Randomized Unit Root and Seasonal Unit Root

A lot of time series analysis in economics and nance is to determine whether a unit root and/or seasonal unit root is present in the data. These tests are usually based on unit root tests orginally developed by Dickey & Fuller(1981). Testing for the presence of a seasonal root has been considered by Dickey, Hasza & Fuller (1984). Li(1991) considered tests for the existence of a seasonal and a r...

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...