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.

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doi.org/10.1111/j.1468-0084.2010.00627.x, hdl.handle.net/1765/25640
Econometric Institute Reprint Series
Oxford Bulletin of Economics and Statistics
Erasmus Research Institute of Management

Kunst, R., & Franses, P. H. (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