A seasonal unit-root test with Stata
Abstract. Many economic time series exhibit important systematic fluctuations
within the year, i.e., seasonality. In contrast to usual practice, I argue that using
original data should always be considered, although the process is more complicated
than that of using seasonally adjusted data. Motivations to use unadjusted
data come from the information contained in their peaks and troughs and from
economic theory. One major complication is the possible unit root at seasonal
frequencies. In this article, I tackle the issue of implementing a test to identify
the source of seasonality. In particular, I follow Hylleberg et al. (1990, Journal of
Econometrics 44: 215–238) for quarterly data.
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Domenico Depalo
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sroot, unit roots, seasonality
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