Using different null hypotheses to test for seasonal unit roots in economic time series

This paper tries to make a contribution by discussing the application of different testing procedures to determine the seasonal properties of quarterly data. We focus on the Hylleberg et al. and on the Canova-Hansen tests. The former detect a unit root at the zero frequency but no seasonal unit roots. The latter reveal that the series displays a statistically significant seasonal pattern with changing coefficients of some seasonal dummy variables. The CH tests finding of a seasonal unit root at frequency ? does not agree with the HEGY-type test results. An explanation is given to try to interpret these two contradictory outcomes.

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Year of publication:	2002
Authors:	Aguirre, Antonio ; Sansó, Andreu
Published in:	Económica. - Facultad de Ciencias Económicas, ISSN 1852-1649. - Vol. XLVIII.2002, 1-2, p. 3-26
Publisher:	Facultad de Ciencias Económicas

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Extent:	application/pdf
Type of publication:	Article
Classification:	C4 - Econometric and Statistical Methods: Special Topics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004980285