Numerical distribution functions for seasonal stability tests

The seasonal stability tests of Canova and Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distributions of the CH tests are unknown for small samples. We present a method for numerically computing critical values and P-values for the CH tests for any sample size and any seasonal periodicity. In fact, this method is applicable to the types of seasonality which are commonly in use, but also to any other.

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Year of publication:	2014
Authors:	Díaz-Emparanza, Ignacio ; Moral, M. Paz
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 86.2014, C, p. 44-49
Publisher:	Elsevier
Subject:	Seasonality \| Unit roots \| Surface response analysis

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040034