Testing for Seasonal Unit Roots with Temporally Aggregated Time Series

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.

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Authors:	Rotger, Gabriel Pons
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Temporal aggregation \| seasonal unit roots \| Hegy test

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Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	2 pages long
Classification:	C22 - Time-Series Models ; C43 - Index Numbers and Aggregation ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005198789