Testing for seasonal unit roots by frequency domain regression

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...

Testing for Seasonal Unit Roots in Periodic Integrated Autoregressive Processes

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...

Testing for seasonal unit roots in monthly panels of time series

We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel counterpart to the univariate RURS test that relies on counting extrema in time series. All methods are applied to an empirical data set on tourism in Austri...

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...