Testing for Seasonal Unit Roots with Temporally Aggregated Time Series
University of Aarhus Economics Working Paper No. 2003-16
23 Pages Posted: 16 Oct 2003
Date Written: September 24, 2003
Abstract
The temporal aggregation effect on seasonal unit roots and its implications for seasonal unit root testing are discussed. The aggregation effect allows to test with any HEGY-type method for integration at the harmonic frequencies through the Nyquist frequency of properly temporally aggregated series.
Keywords: Temporal aggregation, seasonal unit roots, Hegy test
JEL Classification: C22, C43, C52
Suggested Citation: Suggested Citation
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