Testing for seasonal unit roots in monthly panels of time series
2009-02-19
Research Paper
pp 1-24.
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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.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- C14 : Semiparametric and Nonparametric Methods
- C12 : Hypothesis Testing
- C23 : Models with Panel Data
Automatically Extracted Terms
- frequency
- panel
- 0.000
- unit roots
- 1.000
- series
- statistic
- power
- chegy
- chegy test
- unit-root
- table
- design
- unit root
- time series
- nonparametric tests
- nonparametric
- hegy test
- order
- simulation
