We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly cross-sectionally augmented Hylleberg-Engle-Granger-Yoo (CHEGY) test to the monthly case. This parametric test is contrasted with a new non-parametric test, which is the panel counterpart to the univariate record unit-root seasonal (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.

Additional Metadata
Keywords nonparametric test, panel, seasonality, tourism, unit roots
JEL Hypothesis Testing (jel C12), Semiparametric and Nonparametric Methods (jel C14), Models with Panel Data (jel C23)
Persistent URL dx.doi.org/10.1111/j.1468-0084.2010.00627.x, hdl.handle.net/1765/25640
Series Econometric Institute Reprint Series
Journal Oxford Bulletin of Economics and Statistics
Kunst, R.M, & Franses, Ph.H.B.F. (2011). Testing for Seasonal Unit Roots in Monthly Panels of Time Series. Oxford Bulletin of Economics and Statistics, 73(4), 469–488. doi:10.1111/j.1468-0084.2010.00627.x