Testing for Seasonal Unit Roots in Monthly Panels of Time Series

被引：3

作者：

Kunst, Robert M. ^{[1
,2
]}

Franses, Philip Hans ^{[3
]}

机构：

[1] Inst Adv Studies Vienna, A-1060 Vienna, Austria

[2] Univ Vienna, A-1010 Vienna, Austria

[3] Erasmus Univ, Erasmus Sch Econ, NL-3062 PA Rotterdam, Netherlands

来源：

OXFORD BULLETIN OF ECONOMICS AND STATISTICS | 2011年 / 73卷 / 04期

关键词：

CROSS-SECTION DEPENDENCE; HETEROGENEOUS PANELS; COINTEGRATION;

D O I：

10.1111/j.1468-0084.2010.00627.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：469 / 488

页数：20

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