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.

Additional Metadata
Keywords Bayesian analysis, seasonality, structural breaks, unit roots
JEL Bayesian Analysis (jel C11), Hypothesis Testing (jel C12), Time-Series Models; Dynamic Quantile Regressions (jel C22)
Persistent URL dx.doi.org/10.1016/S0304-4076(97)80017-6, hdl.handle.net/1765/13251
Journal Journal of Econometrics
Citation
Franses, Ph.H.B.F, Hoek, H, & Paap, R. (1997). Bayesian analysis of seasonal unit roots and seasonal mean shifts. Journal of Econometrics, 359–380. doi:10.1016/S0304-4076(97)80017-6