Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Simultaneous Unit Roots Tests for Both Regular and Seasonal Unit Roots

  • Sinsup Cho (Department of Statistics, Seoul National University, Seoul, 151-742, Korea) ;
  • Jeong Hyeong Lee (The Research Institute for Basic Sciences, Seoul National Univresity, Seoul, 151-742, Korea) ;
  • Young Jin Park (Department of Statistics, North Carolina State University, Raleigh, U. S. A.) ;
  • Heon Jin Park (Department of Statistics, Inha University, Incheon, 402-751, Korea)
  • Published : 1997.12.01
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Abstract

We obtain the simultaneous unit roots test statistics for both regular and seasonal unit roots in a time series with possible seasonal deterministic trends. The limiting distributions of the proposed test statistics are derived and empirical percentiles of the test statistics are tabulated for some seasonal periods. The power and size of the test statistics are examined for finite samples through a Monte Carlo simulation and Compared with those of the Lagrange multiplier test.

Keywords

References

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