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Seasonal Unit Root Tests Based on Forward and Reverse Estimation
Author(s) -
LEYBOURNE STEPHEN,
TAYLOR A. M. ROBERT
Publication year - 2003
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00315
Subject(s) - unit root , mathematics , statistics , null hypothesis , unit root test , statistical hypothesis testing , monte carlo method
In this paper, we suggest a new set of regression‐based statistics for testing the seasonal unit root null hypothesis. These tests are based on combining conventional Hylleberg et al . (1990) ‐type seasonal unit root test statistics calculated from both forward and reverse estimation of the auxiliary regression equation. We derive the asymptotic distributions of the new test statistics under the seasonal unit root null hypothesis. We provide finite sample critical values appropriate for the case of quarterly data together with asymptotic critical values, the latter appropriate for any seasonal aspect. Monte Carlo simulation of the finite‐sample size and power properties of the new tests reveals that, overall, they perform rather better than extant tests of the seasonal unit root hypothesis.