Testing common deterministic seasonality
With an application to industrial production
We propose methods to test for common deterministic seasonality, while allowing for possible seasonal unit roots. For this purpose, we consider panel methods, where we allow for individual and for common dynamics. To decide on the presence of seasonal unit roots, we introduce a decision-based approach, for which we derive the relevant critical values. We introduce an estimation method for our specific panel models. Our application concerns 16 quarterly industrial production series. One of our findings is that there is not much evidence for common deterministic seasonality.
|deterministic seasonality, seasonal unit roots|
|Econometric Institute Research Papers|
|Organisation||Erasmus School of Economics|
Franses, Ph.H.B.F, & Kunst, R.M. (1999). Testing common deterministic seasonality (No. EI 9905-/A). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1560
|feweco19990330154326.pdf Final Version , 428kb|