Detecting seasonal unit roots in a structural time series model
January 2003
Article
pp 373-387.
| Related Files |
|---|
|
Redirect to Permalink
(Permalink.url.txt, 84 bytes) |
Repository contains one additional file which is not publicly available
In this paper, we propose to detect seasonal unit roots within the context of a structural time series model. Such a model is often found to be useful in practice. Using Monte Carlo simulations, we show that our method works well. We illustrate our approach for several quarterly macroeconomic time series variables.
Keywords
