We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a...

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

The so-called Balassa-Samuelson model implies that relative prices of non-traded goods may be nonstationary and, hence, that PPP should preferably be tested on real exchange rates based on prices of traded goods only. We propose a simple test for PPP among traded goods which can be applied to...

We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel counterpart to the univariate RURS test that relies on...

In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean...