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Seasonal unit root tests in long periodicity cases

Authors
Journal
Journal of the Korean Statistical Society
1226-3192
Publisher
Elsevier
Publication Date
Volume
39
Issue
3
Identifiers
DOI: 10.1016/j.jkss.2010.02.006
Keywords
  • Nonstationarity
  • Differencing
  • Asymptotic

Abstract

Abstract Seasonal differencing is often applied when reporting, for example, monthly sales. New car sales are often reported to be up or down from the same period last year. Tests for the need to seasonally difference data are seasonal unit root tests. We modify the tests of Dickey, Hasza, and Fuller (1984) to investigate results for less typical, long period cases such as 1440 min per day, 52 weeks per year, 365 days per year and so forth, getting some nice properties including a surprising effect of deterministic terms in the models.

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