Financial support from ESRC grant number L116251013, Macroeconomic Modelling and Policy Analysis in a Changing Word is gratefully acknowledged. The usual disclaimer applies. Seasonal roots can help to explain the seasonal fluctuations in macroeconomic time series. In this paper we concentrate on monthly data and look at different versions of Robinson's (1994) tests for testing unit roots and ot...

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...

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...

This study provides a comprehensive comparison of the performance of the commonly used econometric and time-series models in forecasting seasonal tourism demand. The empirical study is carried out based on the demand for outbound leisure tourism by UK residents to seven destination countries: Australia, Canada, France, Greece, Italy, Spain and the USA. In the modelling exercise, the seasonality...

This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...