Arbeitspapier
A nonparametric test for seasonal unit roots
We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order to cope with the sensitivity of the original RUR test to autocorrelation under its null of a unit root, we suggest an augmentation step by autoregression. We present some evidence on the size and power of our procedure and we illustrate it by applications to a commodity price and to an unemployment rate.
- Language
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Englisch
- Bibliographic citation
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Series: Reihe Ökonomie / Economics Series ; No. 233
- Classification
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Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
-
seasonality
nonparametric test
unit roots
Saisonbereinigung
Nichtparametrisches Verfahren
Unit Root Test
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Kunst, Robert M.
- Event
-
Veröffentlichung
- (who)
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Institute for Advanced Studies (IHS)
- (where)
-
Vienna
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kunst, Robert M.
- Institute for Advanced Studies (IHS)
Time of origin
- 2009
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