TY - JOUR
T1 - Robust Stationarity Testing in Seasonal Time Series Processes
AU - Taylor, Anthony
PY - 2003/1/1
Y1 - 2003/1/1
N2 - This article builds on the existing literature on (stationarity) tests of the null hypothesis of deterministic seasonality in a univariate time series process against the alternative of unit root behavior at some or all of the zero and seasonal frequencies. This article considers the case where, in testing for unit roots at some proper subset of the zero and seasonal frequencies, there are unattended unit roots among the remaining frequencies. Monte Carlo results are presented that demonstrate that in this case, the stationarity tests tend to distort below nominal size under the null and display an associated (often very large) loss of power under the alternative. A modification to the existing tests, based on data prefiltering, that eliminates the problem asymptotically is suggested. Monte Carlo evidence suggests that this procedure works well in practice, even at relatively small sample sizes. Applications of the robustified statistics to various seasonally unadjusted time series measures of U.K. consumers' expenditure are considered; these yield considerably more evidence of seasonal unit roots than do the existing stationarity tests.
AB - This article builds on the existing literature on (stationarity) tests of the null hypothesis of deterministic seasonality in a univariate time series process against the alternative of unit root behavior at some or all of the zero and seasonal frequencies. This article considers the case where, in testing for unit roots at some proper subset of the zero and seasonal frequencies, there are unattended unit roots among the remaining frequencies. Monte Carlo results are presented that demonstrate that in this case, the stationarity tests tend to distort below nominal size under the null and display an associated (often very large) loss of power under the alternative. A modification to the existing tests, based on data prefiltering, that eliminates the problem asymptotically is suggested. Monte Carlo evidence suggests that this procedure works well in practice, even at relatively small sample sizes. Applications of the robustified statistics to various seasonally unadjusted time series measures of U.K. consumers' expenditure are considered; these yield considerably more evidence of seasonal unit roots than do the existing stationarity tests.
UR - http://www.scopus.com/inward/record.url?scp=0037240276&partnerID=8YFLogxK
U2 - 10.1198/073500102288618856
DO - 10.1198/073500102288618856
M3 - Article
SN - 1537-2707
SN - 1537-2707
SN - 1537-2707
SN - 1537-2707
VL - 21
SP - 156
EP - 163
JO - Journal of Business and Economic Statistics
JF - Journal of Business and Economic Statistics
ER -