A Model Selection Approach to Detect Seasonal Unit Roots

Posted: 15 Jun 2003

See all articles by Philip Hans Franses

Philip Hans Franses

Erasmus University Rotterdam (EUR) - Department of Econometrics

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

Franses, Philip Hans, A Model Selection Approach to Detect Seasonal Unit Roots (1996). Available at SSRN: https://ssrn.com/abstract=59648

Philip Hans Franses (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Econometrics ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1278 (Phone)
+31 10 408 9162 (Fax)

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