On Periodic Structures and Testing for Seasonal Unit Roots
作者:
Eric Ghysels,
Alastair Hall,
HahnShik Lee,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1996)
卷期:
Volume 91,
issue 436
页码: 1551-1559
ISSN:0162-1459
年代: 1996
DOI:10.1080/01621459.1996.10476722
出版商: Taylor & Francis Group
关键词: Dickey—Fuller tests;Periodic autoregressive models;Seasonality
数据来源: Taylor
摘要:
The standard testing procedures for seasonal unit roots developed so far have been based mainly on time-invariant autoregressive integrated moving average (ARIMA) processes with AR polynomials involving seasonal differencing. One attractive alternative is to use periodic ARMA models. Convenient procedures are presented for testing for the presence of unit roots at the zero and seasonal frequencies in periodic time series. The limiting distributions are derived and tabulated simulation evidence illustrates the advantages of allowing for periodicity. The tests are illustrated via applications to macroeconomic and ozone level data.
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