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Testing for seasonal unit roots by frequency domain regression

Chambers, MJ and Ercolani, JS and Taylor, AMR (2014) 'Testing for seasonal unit roots by frequency domain regression.' Journal of Econometrics, 178 (Pt 2). 243 - 258. ISSN 0304-4076

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Abstract

This paper develops univariate seasonal unit root tests based on spectral regression estimators. An advantage of the frequency domain approach is that it enables serial correlation to be treated non-parametrically. We demonstrate that our proposed statistics have pivotal limiting distributions under both the null and near seasonally integrated alternatives when we allow for weak dependence in the driving shocks. This is in contrast to the popular seasonal unit root tests of, among others, Hylleberg et al. (1990) which treat serial correlation parametrically via lag augmentation of the test regression. Our analysis allows for (possibly infinite order) moving average behaviour in the shocks. The size and power properties of our proposed frequency domain regression-based tests are explored and compared for the case of quarterly data with those of the tests of Hylleberg et al. (1990) in simulation experiments.

Item Type: Article
Uncontrolled Keywords: Seasonal unit root tests; Moving average; Frequency domain regression; Spectral density estimator; Brownian motion
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 03 Jul 2012 21:45
Last Modified: 04 Dec 2017 22:52
URI: http://repository.essex.ac.uk/id/eprint/2787

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