We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

The COVID-19 pandemic has caused a substantial increase in house price growth and its seasonal amplitude. This change has presented challenges to traditional seasonal adjustment methods, such as the U.S. Census Bureau's X-12 method. This study tests for residual seasonality in three major...

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...

This study examines the calendar effects in 55 Stock market exchange indices around the globe. The effects which are examined are the turn-of-the-Month effect, day-of-the-Week effect, Month-of the-Year effect and semi-Month effect. The methodology followed is the test hypothesis with bootstrap...

Decisions on the presence of seasonal unit roots in economic time series are commonly taken on the basis of statistical hypothesis tests. Some of these tests have absence of unit roots as the null hypothesis, while others use unit roots as their null. Following a suggestion by Hylleberg (1995)...

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...

In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suff er from asymptotic size distortions under near integration. We also investigate the behavior of the...

It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that...

NOTE: This is a description of the paper and not the actual abstract. In this paper it is argued that describing seasonal patterns as an evolving seasonals model in which the coefficients attached to seasonal trigonometric terms follow simple autoregressive processes can be very useful when one...

In this paper it is argued that describing seasonal patterns as an evolving seasonals model in which the coefficients attached to seasonal trigonometric terms follow simple autoregressive processes can be very useful when one is faced with the task of extending well known results obtained for...