We propose methods to test for common deterministic seasonality, while allowing for possible seasonal unit roots. For this purpose, we consider panel methods, where we allow for individualand for common dynamics. To decide on the presence of seasonal unit roots, we introduce a decision-based...

We consider representation, estimation and inference on cointegration in a periodic vector autoregressive time series model (PVAR). We show that cointegration amounts to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long-run (cointegration)...

This paper suveys several recently proposed regression-based methods that can be used to evaluate the usefulness of seasonally adjusted data, with specific focus on Census X-12 adjustment. These methods examine whether seasonality has indeed been removed and whether key properties (like a trend...