Testing Monthly Seasonal Unit Roots with Monthly and Quarterly Information

19 Pages Posted: 8 May 2006

See all articles by Gabriel Pons

Gabriel Pons

Aarhus University - Department of Economics

Abstract

This paper proposes a method for testing seasonal unit roots that combines monthly and quarterly Hylleberg, Engle, Granger and Yoo (HEGY) tests. The new approach is more powerful than the method that does not use quarterly information, i.e. the monthly HEGY test. An empirical illustration of the proposed approach is given for monthly US Industrial Production.

Suggested Citation

Pons, Gabriel, Testing Monthly Seasonal Unit Roots with Monthly and Quarterly Information. Journal of Time Series Analysis, Vol. 27, No. 2, pp. 191-209, March 2006. Available at SSRN: https://ssrn.com/abstract=880499 or http://dx.doi.org/10.1111/j.1467-9892.2005.00463.x

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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