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ON PHILLIPS–PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS

Published online by Cambridge University Press:  01 April 1998

Jörg Breitung  and
Philip Hans Franses
Jörg Breitung
Affiliation:
Humboldt University
Philip Hans Franses
Affiliation:
Erasmus University
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Abstract

In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range (0,π]. Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al. (1990). On the other hand, the semiparametric version suffers from severe size distortions in some situations.

Type
Research Article
Information
Econometric Theory , Volume 14 , Issue 2 , April 1998 , pp. 200 - 221
Copyright
© 1998 Cambridge University Press

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