A Nonparametric Test for Seasonal Unit Roots

Research, Preprint, Unknown OPEN
Kunst, Robert M. (2009)
  • Publisher: Institut für Höhere Studien
  • Subject: C22 | Unit Root Test | C12 | C14 | unit roots | Nichtparametrisches Verfahren | Saisonbereinigung | nonparametric test | Seasonality, Nonparametric test, Unit roots | seasonality | Theorie
    • jel: jel:C12 | jel:C22 | jel:C14
      ddc: ddc:330

Abstract: We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order to cope with the sensitivity of the original RUR test to autocorrelation under its null of a unit root, we suggest an augmentation step by autoregression. We present some evidence on the size and power of our procedure and we illustrate it by applications to a commodity price and to an unemployment rate.;
  • References (5)

    j=0

    X(−1)j xt−j , j=0 Details of this representation were analyzed by Smith and Taylor (1999), and the model was used for developing HEGY-type tests by Beaulieu and Miron (1993). Again, (a0, a1, . . . , a6, b1, . . . , b5) =

    [1] Aparicio, F., Escribano, A., and Sipols, A.E. (2006) 'Range unit-root (RUR) tests: robust against nonlinearities, error distributions, structural breaks and outliers'. Journal of Time Series Analysis 27, 545-576.

    [2] Beaulieu, J.J., and Miron, J.A. (1993) 'Seasonal unit roots in aggregate U.S. data,' Journal of Econometrics 55, 305-328.

    [15] Hylleberg, S., Engle, R.F., Granger, C.W.J. and Yoo, B.S. (1990). 'Seasonal integration and cointegration', Journal of Econometrics 44, 215-238.

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