TY - JOUR
T1 - Seasonal Unit Root Tests Based on Forward and Reverse Estimation
AU - Taylor, Anthony
AU - Leybourne, SJ
PY - 2003/7/1
Y1 - 2003/7/1
N2 - In this paper, we suggest a new set of regression-based statistics for testing the seasonal unit root null hypothesis. These tests are based on combining conventional Hylleberg et al. (1990)-type seasonal unit root test statistics calculated from both forward and reverse estimation of the auxiliary regression equation. We derive the asymptotic distributions of the new test statistics under the seasonal unit root null hypothesis. We provide finite sample critical values appropriate for the case of quarterly data together with asymptotic critical values, the latter appropriate for any seasonal aspect. Monte Carlo simulation of the finite-sample size and power properties of the new tests reveals that, overall, they perform rather better than extant tests of the seasonal unit root hypothesis.
AB - In this paper, we suggest a new set of regression-based statistics for testing the seasonal unit root null hypothesis. These tests are based on combining conventional Hylleberg et al. (1990)-type seasonal unit root test statistics calculated from both forward and reverse estimation of the auxiliary regression equation. We derive the asymptotic distributions of the new test statistics under the seasonal unit root null hypothesis. We provide finite sample critical values appropriate for the case of quarterly data together with asymptotic critical values, the latter appropriate for any seasonal aspect. Monte Carlo simulation of the finite-sample size and power properties of the new tests reveals that, overall, they perform rather better than extant tests of the seasonal unit root hypothesis.
KW - seasonal unit root tests
KW - forward and reverse time regressions
KW - Brownian motion
UR - http://www.scopus.com/inward/record.url?scp=0141942060&partnerID=8YFLogxK
U2 - 10.1111/1467-9892.00315
DO - 10.1111/1467-9892.00315
M3 - Article
SN - 1467-9892
SN - 1467-9892
SN - 1467-9892
VL - 24
SP - 441
EP - 460
JO - Journal of Time Series Analysis
JF - Journal of Time Series Analysis
ER -