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Seasonal Unit Root Tests
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Book Synopsis Seasonal Unit Root Tests Under Structural Breaks by : Uwe Hassler
Download or read book Seasonal Unit Root Tests Under Structural Breaks written by Uwe Hassler and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test, as well as an LM variant thereof, are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions and power reductions when breaks are present. Hence, a new break corrected LM test is proposed to overcome this problem. Importantly, the correction for seasonal mean shifts bears no consequence on the limiting distributions, thereby maintaining the legitimacy of canonical critical values. Moreover, although this test assumes a breakpoint a priori, it is robust in terms of misspecification of the time of the break. This asymptotic property is well reproduced in finite samples. Based on a Monte-Carlo study, our new test is compared with other procedures suggested in the literature and shown to hold superior finite sample properties.
Book Synopsis Seasonal Unit Root Tests by : Qianyi Zhang
Download or read book Seasonal Unit Root Tests written by Qianyi Zhang and published by . This book was released on 2007 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords: Power, Seasonal Unit Roots.
Book Synopsis Seasonal Unit Root Tests: A Comparison by :
Download or read book Seasonal Unit Root Tests: A Comparison written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Three major regression-based seasonal unit root tests: the DHF test introduced by Dickey et al (1984), the HEGY test proposed by Hylleberg et al. (1990) and the Kunst test introduced by Kunst (1997) are compared. The regression model for the DHF test is a reduced form of that for the Kunst test. We modify the Kunst test by using the t-statistic instead of Kunst's proposed joint F-statistic to study the influence of additional variables in the Kunst model. Also, we modify the HEGY test to test the presence of all four quarterly unit roots against the presence of roots 1 and -1. Through the comparison between the DHF test and the modified HEGY test, we find that the DHF test does not have asymptotic power one when the series only have some of the seasonal unit roots but not all of them. We call this case of partial unit roots. The asymptotic distributions derived in the paper provide the explanation of this limitation for the DHF test. Using simulation, we find that the probability that the DHF test will lead researchers to accept the seasonal unit root null hypothesis increases when the series contains more partial unit roots. For the DHF test, the test power depends on the augmented model. We derive limits of the related estimates from two augmented models for the DHF test. Both estimates are inconsistent. The test statistic obtained from the augmented model suggested by Ghysels et al. (1992) has relatively low power. For the HEGY/Kunst test, most limiting distributions for the test statistics depend on the lag augmentation but the test statistics have few problems caused by inconsistent estimates. However, the augmented models for the HEGY/Kunst test have more variables than those for the DHF test. Based on our simulation study results, the inclusion of more variables results in more loss in power when a redundant variable is included, and more sensitivity to the size distortion when the augmented lag length is less than the true lag length.
Book Synopsis Unit Root Tests in Time Series Volume 1 by : K. Patterson
Download or read book Unit Root Tests in Time Series Volume 1 written by K. Patterson and published by Springer. This book was released on 2011-02-25 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
Book Synopsis Seasonal Unit Root Tests Based on Forward and Reverse Estimation by : Stephen J. Leybourne
Download or read book Seasonal Unit Root Tests Based on Forward and Reverse Estimation written by Stephen J. Leybourne and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we suggest a new set of regression-based statistics for testing the seasonal unit root null hypothesis. These tests are based on combining conventional Hylleberg et al. (1990)-type seasonal unit root test statistics calculated from both forward and reverse estimation of the auxiliary regression equation. We derive the asymptotic distributions of the new test statistics under the seasonal unit root null hypothesis. We provide finite sample critical values appropriate for the case of quarterly data together with asymptotic critical values, the latter appropriate for any seasonal aspect. Monte Carlo simulation of the finite-sample size and power properties of the new tests reveals that, overall, they perform rather better than extant tests of the seasonal unit root hypothesis.
Book Synopsis The Behaviour of Seasonal Unit Root Tests for Quarterly Time Series with Seasonal Mean Shifts by : Artur C.B da Silva Lopes
Download or read book The Behaviour of Seasonal Unit Root Tests for Quarterly Time Series with Seasonal Mean Shifts written by Artur C.B da Silva Lopes and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the behaviour of the HEGY tests for quarterly data, for seasonal autoregressive unit roots, when the time series being analysed is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product, we also analyse the HEGY tests for the nonseasonal unit root when the data generation process is also trend stationary. Our results show that, asymptotically, at least when the break magnitudes are finite, the HEGY test statistics are not biased towards the acceptance of the seasonal and nonseasonal unit root hypotheses. Just under some combinations of the parameters a larger sample size may be required to preserve the power properties of the tests. Hence, our results are also useful to understand and to predict the finite sample power performance of the test statistics under several circumstances.
Book Synopsis Unit Roots, Cointegration, and Structural Change by : G. S. Maddala
Download or read book Unit Roots, Cointegration, and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Book Synopsis Regression-based Seasonal Unit Root Tests with Recursive Mean Adjustment by : R. A. Taylor
Download or read book Regression-based Seasonal Unit Root Tests with Recursive Mean Adjustment written by R. A. Taylor and published by . This book was released on 1999 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bootstrapping Seasonal Unit Root Tests by : P. Burridge
Download or read book Bootstrapping Seasonal Unit Root Tests written by P. Burridge and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Regression-based Seasonal Unit Root Tests by : Richard J. Smith
Download or read book Regression-based Seasonal Unit Root Tests written by Richard J. Smith and published by . This book was released on 1999 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Unit Roots in Seasonal Time Series with Long Period by :
Download or read book Testing for Unit Roots in Seasonal Time Series with Long Period written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for seasonal unit roots has been discussed extensively in the literature. However, the test will be difficult if the time series has a long period, where the critical values for the test statistics are not available. We modify the seasonal unit roots test of Dickey, Hasza, and Fuller (1984) to investigate results for less typical, long period cases, and present some asymptotic normality properties. We also suggest an empirical adjustment to improve the normal approximation when the seasonal period is not sufficiently long. The basic idea is to use a double-index form for the seasonal time series with a long period, where d denotes the large lag number, so that the d "channels" will be independent for each i. By applying the Classical Central Limit Theorem for iid random variables, we can obtain the asymptotic result. The convergence is proved to be order independent with respect to m and d. An advantage of this technique is that one can make the adjustment and use a standard normal as a reference distribution instead of looking into the seasonal percentile tables when doing the seasonal unit roots test, no matter what kind of deterministic terms are included in the model as long as the number of the regressors is fixed. We also show that for an AR(p) model we still obtain the asymptotic normality of the unit root statistics.
Book Synopsis The Asymptotic and Finite Sample Behaviour of Seasonal Unit Root Tests Under the Presence of a Break in the Deterministic Seasonal Pattern by : Artur C.B da Silva Lopes
Download or read book The Asymptotic and Finite Sample Behaviour of Seasonal Unit Root Tests Under the Presence of a Break in the Deterministic Seasonal Pattern written by Artur C.B da Silva Lopes and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the asymptotic behaviour of the HEGY tests for quarterly data, for nonseasonal and seasonal autoregressive unit roots, when the time series being analysed is trend and deterministic seasonal stationary but exhibits a change in the seasonal pattern. Our results show that, asymptotically, the HEGY test statistics are not biased towards the acceptance of the seasonal and nonseasonal unit root hypotheses. Just under some combinations of the parameters the rejection of the false null hypothesses may require a larger sample size. Therefore, our results are also useful to understand and to predict the finite sample power properties of the tests statistics under several circumstances.
Book Synopsis Regression-based Seasonal Unit Root Tests with Recursive Mean Adjustment by : A. M. Robert Taylor
Download or read book Regression-based Seasonal Unit Root Tests with Recursive Mean Adjustment written by A. M. Robert Taylor and published by . This book was released on 1999 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Asymptotic Properties of Some Seasonal Unit Root Tests by : A. M. Robert Taylor
Download or read book On the Asymptotic Properties of Some Seasonal Unit Root Tests written by A. M. Robert Taylor and published by . This book was released on 2002 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Numerical Distribution Functions for Seasonal Unit Root Tests by : Ignacio Díaz-Emparanza
Download or read book Numerical Distribution Functions for Seasonal Unit Root Tests written by Ignacio Díaz-Emparanza and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Seasonal Unit Roots with Temporally Aggregated Time Series by : Gabriel Pons
Download or read book Testing for Seasonal Unit Roots with Temporally Aggregated Time Series written by Gabriel Pons and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The temporal aggregation effect on seasonal unit roots and its implications for seasonal unit root testing are discussed. The aggregation effect allows to test with any HEGY-type method for integration at the harmonic frequencies through the Nyquist frequency of properly temporally aggregated series.
Book Synopsis The Econometric Analysis of Seasonal Time Series by : Eric Ghysels
Download or read book The Econometric Analysis of Seasonal Time Series written by Eric Ghysels and published by Cambridge University Press. This book was released on 2001-06-18 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
