We thank two anonymous referees for their detailed comments.
Testing for Seasonal Unit Roots in Monthly Panels of Time Series*
Article first published online: 20 FEB 2011
© Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2011
Oxford Bulletin of Economics and Statistics
Volume 73, Issue 4, pages 469–488, August 2011
How to Cite
Kunst, R. M. and Franses, P. H. (2011), Testing for Seasonal Unit Roots in Monthly Panels of Time Series. Oxford Bulletin of Economics and Statistics, 73: 469–488. doi: 10.1111/j.1468-0084.2010.00627.x
- Issue published online: 20 JUN 2011
- Article first published online: 20 FEB 2011
- Final Manuscript Received: October 2010
We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly cross-sectionally augmented Hylleberg–Engle–Granger–Yoo (CHEGY) test to the monthly case. This parametric test is contrasted with a new non-parametric test, which is the panel counterpart to the univariate record unit–root seasonal (RURS) test that relies on counting extrema in time series. All methods are applied to an empirical data set on tourism in Austrian provinces. The power properties of the tests are evaluated in simulation experiments that are tuned to the tourism data.