Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Note on Tests for Seasonal Unit Roots in the Presence of Deterministic Trends

  • Ahn, Sung-Keuk (Department of Management and Systems, Washington State University, Pullman, WA 99164-4726, USA) ;
  • Cho, Sin-Sup (Department of Computer Science and Statistics, Seoul National University, Seoul 151-742)
  • Published : 1993.06.01
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Abstract

In this paper we show that the results of Ahn and Cho (1992) can be applied to a more general class of seasonal models, especially models with autocorrelated errors. Employing the idea of the "two-step estimation" method, we provide test statistics which are easy to compute and have the same asymptotic properties as those in Ahn and Cho (1992) for seasonal unit roots. A numerical example is presented to illustrate the methods and concepts. The power of the test statistics for finite samples is examined through a Monte Carlo sampling experiment.xperiment.

Keywords

References

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