Seasonal unit roots in trade variables

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Carol Alexander; Manuel Cantavella Jordá;
  • 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 ... View more
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