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Additional critical values and asymptotic representations for seasonal unit root tests |
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| Institution: | 1. Department of Medical Social Sciences, Northwestern University Feinberg School of Medicine, Chicago, USA;2. Consulting, Quintiles, Hoofddorp;3. Global Data Science, Health Economics & Outcomes Research, Astellas Pharma Global Development, Leiden, The Netherlands;4. Health Economics & Clinical Outcomes Research, Astellas Pharma US, Inc., Northbrook, USA;5. Institut Gustave Roussy, University of Paris Sud, Villejuif, France;1. Department of Mathematical Sciences, University of Copenhagen, Universitetsparken 5, Copenhagen East DK-2100, Denmark;2. Department of Statistics, North Carolina State University, 2311 Stinson Drive, Campus Box 8203, Raleigh, NC 27695-8203, USA |
| Abstract: | This paper is concerned with tests for seasonal unit roots in a univariate time series process. The paper extends the procedures and tables of critical values due to Hylleberg et al. (1990) and Ghysels et al. (1994) to obtain tests which are similar (exactly and asymptotically) with respect to both the initial values of the process and the possibility of differential seasonal drift under the null hypothesis of a seasonal unit root. Representations are derived for the limiting distributions of the test statistics in this and other cases of interest. These representations provide an explanation for the similarity between critical values for the statistics in different scenarios. The seasonal unit root properties of real seasonally unadjusted UK non-durable consumption expenditure are re-examined. |
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