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.

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Keywords mathematical statistics, seasonality, time series analysis, unit roots
Persistent URL
Journal Journal of Applied Statistics
Franses, Ph.H.B.F, & Kawasaki, Y. (2003). Detecting seasonal unit roots in a structural time series model. Journal of Applied Statistics, 373–387. Retrieved from