Testing for Seasonal Unit Roots with Temporally Aggregated Time Series
University of Aarhus Economics Working Paper No. 2003-16
23 Pages Posted: 16 Oct 2003
Date Written: September 24, 2003
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.
Keywords: Temporal aggregation, seasonal unit roots, Hegy test
JEL Classification: C22, C43, C52
Suggested Citation: Suggested Citation