Multiple Unit Roots in Periodic Autoregression

Working Paper 1996-2

Posted: 7 Jul 1998

See all articles by H. Peter Boswijk

H. Peter Boswijk

Amsterdam School of Economics; Tinbergen Institute

Philip Hans Franses

Erasmus University Rotterdam (EUR) - Department of Econometrics

Niels Haldrup

Aarhus University, School of Economics and Management; CREATES

Date Written: January 1996

Abstract

In this paper we propose a model selection strategy for a univariate periodic autoregressive time series which involves tests for one or more unit roots and for parameter restrictions corresponding to seasonal unit roots and multiple unit roots at the zero frequency. Examples of models that are considered are variants of the seasonal unit roots model and the periodic integration model. We show that the asymptotic distributions of various statistics are the same as well-known distributions which are already tabulated. We apply our strategy to three empirical series to illustrate its ease of use. We find that evidence for seasonal unit roots based on nonperiodic models disappears when periodic representations are considered.

JEL Classification: C12, C22, C51, C52

Suggested Citation

Boswijk, H. Peter and Franses, Philip Hans and Haldrup, Niels, Multiple Unit Roots in Periodic Autoregression (January 1996). Working Paper 1996-2, Available at SSRN: https://ssrn.com/abstract=7288

H. Peter Boswijk

Amsterdam School of Economics ( email )

Roetersstraat 11
Amsterdam, North Holland 1018 WB
Netherlands

HOME PAGE: http://www.uva.nl/profile/h.p.boswijk

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

Philip Hans Franses

Erasmus University Rotterdam (EUR) - Department of Econometrics ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1278 (Phone)
+31 10 408 9162 (Fax)

Niels Haldrup (Contact Author)

Aarhus University, School of Economics and Management ( email )

Universitetsparken
Aarhus, DK 8000 C
Denmark
+45 8942 1133 (Phone)
+45-8613-6334 (Fax)

CREATES ( email )

School of Economics and Management
Aarhus University
Aarhus, DK 8000 C
Denmark
+4589421613 (Phone)

HOME PAGE: http://www.creates.au.dk/en

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