Besides introducing a simple and intuitive definition for the order of integration of quarterly time series, this paper also presents a simple testing strategy to determine that order for the case of macroeconomic data. A simulation study shows that much more attention should be devoted to the...

An empirical example and a simulation study show that much more attention should be devoted to the practical issue of selecting the maximum admissible order of integration for quarterly macroeconomic time series. In fact, it is shown that when that order is too high, one may get (spurious)...

Following recent work of Franses, Hylleberg and Lee (FHL), this paper analyses the consequences of fitting a deterministic seasonal model to a quarterly time series which can be (at least approximately) described by a seasonal unit root(s) model. Besides the distribution of the coefficient of...

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 Dickey-Fuller long-run unit root tests. Both size and power properties are affected by such...

This paper investigates the properties of Dickey-Fuller tests for seasonally unadjusted quarterly data when deterministic seasonality is present but it is neglected in the test regression. While for the random walk case the answer is straightforward, an extensive Monte Carlo study has to be...

This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product we analyze also the HEGY test for the nonseasonal...

This study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These...

One of the main consequences of the 'cointegration revolution' on the domain of the direct tests of the rational expectations hypothesis (REH) was the substitution of the 'restricted cointegration test' (RCT) for the 'unbiasedness test'. However, the results of a Monte Carlo study show that a...

This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. We analyze also the HEGY test for the nonseasonal unit root. the...