A Seasonal Unit Root Test with STATA
12 Pages Posted: 20 Feb 2008
Date Written: February 18, 2008
Many economic time series exhibit important systematic fluctuations within the year, i.e. seasonality. Differently from usual practice, we argue that using original data should always be considered, although their process is more complicated than that of seasonally adjusted data. Motivations to use not adjusted data come from the information contained in their peak and trough and from economic theory. One major complication is instead the unit root at seasonal frequencies. In this paper we tackle the issue implementing a test to identify the source of seasonality. In particular we follow Hylleberg et Al. (1991) for quarterly data.
Keywords: Unit roots, Seasonality
JEL Classification: C87, C82
Suggested Citation: Suggested Citation