We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel counterpart to the univariate 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.

Additional Metadata
Keywords nonparametric test, panel, seasonality, tourism, unit roots
Publisher Erasmus School of Economics (ESE)
Persistent URL hdl.handle.net/1765/14861
Citation
Kunst, R.M., & Franses, Ph.H.B.F.. (2009). Testing for seasonal unit roots in monthly panels of time series (No. EI 2009-05). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–24). Erasmus School of Economics (ESE). Retrieved from http://hdl.handle.net/1765/14861