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Title: Seasonal Nonstationarity and Near-Nonstationarity
Authors: Ghysels, Eric
Osborn, Denise R.
Rodrigues, Paulo M. M.
Issue Date: 1999-02
Publisher: Centre interuniversitaire de recherche en analyse des organisations (CIRANO)
Series/Report no.: Série scientifique (CIRANO);99s-05
Scientific series (CIRANO);99s-05
Abstract: Dans cet article, nous étudions les propriétés des processsus avec racines unitaires saisonnières et avec racines quasi-unitaires. Nous traitons le cas des marchés aléatoires ainsi que les processus plus généraux et analysons les distributions des estimateurs et les fonctions de puissances de plusieurs tests.

This paper presents a detailed discussion of the characteristics of seasonal integrated and near integrated processes, as well as the asymptotic properties of seasonal unit root tests. More specifically, the characteristics of a seasonal random walk and a more general seasonal integrated ARMA process are analysed. Also the implications of modelling nonstationary stochastic season-ality as deterministic are highlighted. A further observation made includes the asymptotic distributions and power functions of several seasonal unit root tests.
ISSN: 1198-8177
Appears in Collections:Cahiers scientifiques

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