Template-Type: ReDIF-Article 1.0

Author-Name: Antonio Aguirre 
Author-Workplace-Name: Universidade Federal de Minas Gerais (UFMG)

Author-Name: Andreu Sansó
Author-Workplace-Name: Universidad de Barcelona 

Title: Using different null hypotheses to test for seasonal unit roots in economic time series

Abstract: This paper tries to make a contribution by discussing the application of different testing procedures to determine the seasonal properties of quarterly data. We focus on the Hylleberg et al. and on the Canova-Hansen tests. The former detect a unit root at the zero frequency but no seasonal unit roots. The latter reveal that the series displays a statistically significant seasonal pattern with changing coefficients of some seasonal dummy variables. The CH tests finding of  a seasonal unit root at frequency ? does not agree with the HEGY-type test results. An explanation is given to try to interpret these two contradictory outcomes.  

Classification-JEL: C4

Journal: Económica
Pages: 3-26
Volume: XLVIII
Issue: 1-2
Year: 2002
Month: January-December 

File-URL: https://revistas.unlp.edu.ar/Economica/article/view/8513/7061
File-Format: Application/pdf
Handle: RePEc:akh:journl:525