Template-Type: ReDIF-Paper 1.0
Author-Name: Kunst, R.M.
Author-Name-Last: Kunst
Author-Name-First: Robert
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: Testing for seasonal unit roots in monthly panels of time series
Abstract: 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.
Creation-Date: 2009-02-19
File-URL: https://repub.eur.nl/pub/14861/ei%202009-05.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2009-05
Classification-JEL: C12, C14, C23
Keywords: nonparametric test, panel, seasonality, tourism, unit roots
Handle: RePEc:ems:eureir:14861