Robust Stationarity Tests in Seasonal Time Series Processes
Bibliographic Data
| ID | 19418491 |
|---|---|
| Authors | A M Robert Taylor (0000-0003-0567-0276, University of Birmingham, corresponding author) |
| Year | 2003 |
| Volume | 21 |
| Issue | 1 |
| Pages | 156-163 |
| Publication date | 2003-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500102288618856 |
| OpenAlex | W2022465274 |
| Language | EN |
| References cited | 16 |
This article builds on the existing literature on (stationarity) tests of the null hypothesis of deterministic seasonality in a univariate time series process against the alternative of unit root behavior at some or all of the zero and seasonal frequencies. This article considers the case where, in testing for unit roots at some proper subset of the zero and seasonal frequencies, there are unattended unit roots among the remaining frequencies. Monte Carlo results are presented that demonstrate that in this case, the stationarity tests tend to distort below nominal size under the null and display an associated (often very large) loss of power under the alternative. A modification to the existing tests, based on data prefiltering, that eliminates the problem asymptotically is suggested. Monte Carlo evidence suggests that this procedure works well in practice, even at relatively small sample sizes. Applications of the robustified statistics to various seasonally unadjusted time series measures of U.K. consumers' expenditure are considered; these yield considerably more evidence of seasonal unit roots than do the existing stationarity tests
Alternative hypothesis · Data mining · Econometrics · Monte Carlo method · Multivariate statistics · Null hypothesis · Seasonal adjustment · Seasonality · Statistical hypothesis testing · Statistics · Unit root · Univariate · Computer Science · Economics of Agriculture and Food Markets · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
Testing for the Constancy of Parameters over Time
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Testing the null hypothesis of stationarity against the alternative of a unit root
A Locally Optimal Seasonal Unit-Root Test
A Consistent Test for a Unit Root
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
| Citation velocity | historical |
|---|---|
| Highly cited | No |