A Model Selection Approach to Detect Seasonal Unit Roots
Posted: 15 Jun 2003
Date Written: 1996
Abstract
The popular 'airline' model for a seasonal time series assumes that a variable needs double differencing, i.e. first and seasonal (or annual) differencing. The resultant time series can usaually be described by a low order moving average model with estimated roots close to the unit circle. This latter feature complicates the standard autoregression-based tests for (seasonal) unit roots which are often used in practice. In this paper we propose an alternative route to detect seasonal unit roots by analysing (version of) the basic structual model [BSM].
JEL Classification: C30; C32; C22
Suggested Citation: Suggested Citation
Franses, Philip Hans, A Model Selection Approach to Detect Seasonal Unit Roots (1996). Available at SSRN: https://ssrn.com/abstract=59648
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