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

See all articles by Gabriel Pons

Gabriel Pons

Aarhus University - Department of Economics

Date Written: September 24, 2003

Abstract

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

Pons, Gabriel, Testing for Seasonal Unit Roots with Temporally Aggregated Time Series (September 24, 2003). University of Aarhus Economics Working Paper No. 2003-16. Available at SSRN: https://ssrn.com/abstract=451382 or http://dx.doi.org/10.2139/ssrn.451382

Gabriel Pons (Contact Author)

Aarhus University - Department of Economics ( email )

University Park
DK-8000 Aarhus C
Denmark
+45 8942 1604 (Phone)

HOME PAGE: http://www.econ.au.dk/afn/default.htm

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