Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97428
Authors: 
Kunst, Robert M.
Year of Publication: 
2014
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 303
Abstract: 
Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination exploits two main characteristics of seasonal unit-root models, the range expansion typical of integrated processes and the low frequency of changes among main seasonal shapes. The combination succeeds in achieving power gains over the component tests. Simulations explore the finite-sample behavior relative to traditional parametric tests.
Subjects: 
Seasonality
nonparametric tests
visualization
time series
JEL: 
C12
C14
C22
Document Type: 
Working Paper

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