In this paper, it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts — i.e., seasonal structural breaks which affect only the seasonal cycle — really do matter for DickeyFuller long-run unit root tests. Both size and power properties are affected by such breaks but using the t-sig method for lag selection induces a stabilizing effect. Although most r...

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...

[1] Correct representations of root functioning, such as root water uptake and hydraulic redistribution, are critically important for modeling the responses of vegetation to droughts and seasonal changes in soil moisture content. However, these processes are poorly represented in global land surface models. In this study, we incorporated two root functions: a root water uptake function which as...

We discuss speci cation, frequency domain estimation and application of a exible seasonal long memory time series model based on fractional di erencing. This type of model lends itself to seasonal unit root testing using standard distribution theory with null hypotheses of stationarity and nonstationarity. We apply Wald tests. We suggest periodogram regression estimation for simple models, whic...

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 deals with nonstationary autoregressive (AR) models with complex roots on the unit circle. We examine the asymptotic properties of the least squares estimators (LSEs) in the model. We also extend the model to the case where the error term follows a stationary linear process. We show that the limiting distribution of the LSE of the unit root parameter has a property comparable to that...