In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean shifts instead of seasonal stochastic trends. This leads to analysing seasonal unit roots in the presence of mean shifts using Bayesian techniques. Our method is illustrated using several simulated and empirical data.

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hdl.handle.net/1765/1354
Econometric Institute Research Papers
Erasmus School of Economics

Franses, P. H., Hoek, H., & Paap, R. (1995). Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts (No. EI 9527-/A). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1354