Seasonal unit roots in trade variables

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Carol Alexander ; Manuel Cantavella Jordá (1997)
  • Subject: Raíz unitaria estacional, metodología HEGY, ciclo, periodo, frecuencia, filtro Seasonal unit root, HEGY procedure, cycle, period, frequency, filter
    • jel: jel:C22

In this paper we examine the presence of seasonal unit roots in trade variables for Germany, France, the United Kingdom, and Italy, using the procedure developed by Hylleberg, Engle, Granger, and Yoo (1990) [HEGY]. Both quarterly and monthly data reject the presence of unit roots at most seasonal frequencies, more frequently in quarterly than in monthly data. This has important implications for econometric modeling of trade balance, exchange rates and income in European Union (EU) countries. En este trabajo se examina la posible presencia de raíces unitarias estacionales en variables de comercio para Alemania, Francia, Reino Unido e Italia utilizando la metodología de Hylleberg, Engle, Granger y Yoo (1990) [HEGY]. Tanto las series mensuales como las trimestrales rechazan la presencia de raíces unitarias en la mayor parte de las frecuencias estacionales, de manera más frecuente en datos trimestrales que en datos mensuales. Esto puede tener implicaciones interesantes en la modelización econométrica de variables de comercio como balanza comercial, tipos de cambio y renta, por lo menos para países de la Unión Europea (EU).
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