Seasonal Nonstationarity and Near-Nonstationarity

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.