A Nonparametric Test for Seasonal Unit Roots

Kunst, Robert M. (January 2009) A Nonparametric Test for Seasonal Unit Roots. IHS Economics Series 233

[img]
Preview
Text
es-233.pdf

Download (394kB) | Preview

Abstract or Table of Contents

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.;

Item Type: IHS Series
Keywords: 'Seasonality' 'Nonparametric test' 'Unit roots'
Classification Codes (e.g. JEL): C12, C14, C22
Status: Published
Date Deposited: 26 Sep 2014 10:38
Last Modified: 22 Jul 2017 09:36
URI: http://irihs.ihs.ac.at/id/eprint/1891

Actions (login required)

View Item View Item