Semi-parametric seasonal unit root tests

Tomás Del Barrio Castro; Paulo M.M. Rodrigues; A. M Robert Taylor

doi:10.1017/S0266466617000135

Semi-parametric seasonal unit root tests

Tomás Del Barrio Castro, Paulo M.M. Rodrigues, A. M Robert Taylor

NOVA School of Business and Economics (NOVA SBE)

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

We extend the (Formula presented.) class of unit root tests introduced by Stock (1999, Cointegration, Causality and Forecasting. A Festschrift in Honour of Clive W.J. Granger. Oxford University Press), Perron and Ng (1996, Review of Economic Studies 63, 435–463) and Ng and Perron (2001, Econometrica 69, 1519–1554) to the seasonal case, thereby developing semi-parametric alternatives to the regression-based augmented seasonal unit root tests of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The success of this class of unit root tests to deliver good finite sample size control even in the most problematic (near-cancellation) case where the shocks contain a strong negative moving average component is shown to carry over to the seasonal case as is the superior size/power trade-off offered by these tests relative to other available tests.

Original language	English
Pages (from-to)	447-476
Number of pages	30
Journal	Econometric Theory
Volume	34
Issue number	2
DOIs	https://doi.org/10.1017/S0266466617000135
Publication status	Published - 1 Apr 2018

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title = "Semi-parametric seasonal unit root tests",

abstract = "We extend the (Formula presented.) class of unit root tests introduced by Stock (1999, Cointegration, Causality and Forecasting. A Festschrift in Honour of Clive W.J. Granger. Oxford University Press), Perron and Ng (1996, Review of Economic Studies 63, 435–463) and Ng and Perron (2001, Econometrica 69, 1519–1554) to the seasonal case, thereby developing semi-parametric alternatives to the regression-based augmented seasonal unit root tests of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The success of this class of unit root tests to deliver good finite sample size control even in the most problematic (near-cancellation) case where the shocks contain a strong negative moving average component is shown to carry over to the seasonal case as is the superior size/power trade-off offered by these tests relative to other available tests.",

author = "{Del Barrio Castro}, Tom{\'a}s and Rodrigues, {Paulo M.M.} and Taylor, {A. M Robert}",

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T1 - Semi-parametric seasonal unit root tests

AU - Del Barrio Castro, Tomás

AU - Rodrigues, Paulo M.M.

AU - Taylor, A. M Robert

N1 - Funding grant nr. ECO2011-23934 and ECO2014-58991-C3-3-R

PY - 2018/4/1

Y1 - 2018/4/1

N2 - We extend the (Formula presented.) class of unit root tests introduced by Stock (1999, Cointegration, Causality and Forecasting. A Festschrift in Honour of Clive W.J. Granger. Oxford University Press), Perron and Ng (1996, Review of Economic Studies 63, 435–463) and Ng and Perron (2001, Econometrica 69, 1519–1554) to the seasonal case, thereby developing semi-parametric alternatives to the regression-based augmented seasonal unit root tests of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The success of this class of unit root tests to deliver good finite sample size control even in the most problematic (near-cancellation) case where the shocks contain a strong negative moving average component is shown to carry over to the seasonal case as is the superior size/power trade-off offered by these tests relative to other available tests.

AB - We extend the (Formula presented.) class of unit root tests introduced by Stock (1999, Cointegration, Causality and Forecasting. A Festschrift in Honour of Clive W.J. Granger. Oxford University Press), Perron and Ng (1996, Review of Economic Studies 63, 435–463) and Ng and Perron (2001, Econometrica 69, 1519–1554) to the seasonal case, thereby developing semi-parametric alternatives to the regression-based augmented seasonal unit root tests of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The success of this class of unit root tests to deliver good finite sample size control even in the most problematic (near-cancellation) case where the shocks contain a strong negative moving average component is shown to carry over to the seasonal case as is the superior size/power trade-off offered by these tests relative to other available tests.

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JO - Econometric Theory

JF - Econometric Theory

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Semi-parametric seasonal unit root tests

Abstract

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