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Testing for Seasonal Unit Roots in Monthly Panels of Time Series *
Author(s) -
Kunst Robert M.,
Franses Philip Hans
Publication year - 2011
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/j.1468-0084.2010.00627.x
Subject(s) - univariate , unit root , econometrics , parametric statistics , series (stratigraphy) , unit root test , statistics , mathematics , test (biology) , time series , set (abstract data type) , computer science , multivariate statistics , cointegration , geology , paleontology , programming language
We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly cross‐sectionally augmented Hylleberg–Engle–Granger–Yoo (CHEGY) test to the monthly case. This parametric test is contrasted with a new non‐parametric test, which is the panel counterpart to the univariate record unit–root seasonal (RURS) test that relies on counting extrema in time series. All methods are applied to an empirical data set on tourism in Austrian provinces. The power properties of the tests are evaluated in simulation experiments that are tuned to the tourism data.