Asymmetry and nonstationarity for a seasonal time series model |
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Authors: | Dong Wan Shin Oesook Lee |
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Institution: | Department of Statistics, Ewha University, Seoul 120-750, South Korea |
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Abstract: | Tests for symmetry and seasonal unit roots are developed for an extended model of Hylleberg et al. (1990. Seasonal integration and cointegration. Journal Econometrics 44, 215–238.) which can represent both partial seasonal unit roots and threshold effects. Methods based on ordinary least squares (OLS) estimation and instrumental variable (IV) estimation are proposed and compared. For adjusting mean functions, ordinary mean adjustment and recursive mean adjustment are both considered. Several tests are constructed from various combination of estimation schemes and mean adjustment schemes. Among the tests, the tests based on IV-estimation are recommended because they have very simple limiting null distributions and have finite sample power properties comparable to those based on the OLSE. The recommended tests are applied to a US unemployment rate data set and find evidences for both nonstationarities associated with zero frequency and threshold effects. |
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Keywords: | C33 C12 C13 |
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