Non-parametric testing for seasonally and periodically integrated processes

作者：del Barrio Castro Tomas; O**orn Denise R

来源：Journal of Time Series Analysis, 2012, 33(3): 424-437.

DOI：10.1111/j.1467-9892.2011.00775.x

• Seasonality
• periodic integration
• seasonal integration
• variance ratio tests
• non-parametric cointegration tests
• industrial production

This article obtains the asymptotic distributions of the seasonal variance ratio tests proposed by A.M.R. Taylor (2005, 124, 33) when these tests are applied to a periodically integrated process [PI(1)]. In contrast to the situation where the process is seasonally integrated [SI(1)], all test statistics in the PI(1) case are driven by a single stochastic trend and hence follow the distribution obtained by Breitung (2002, 108, 343) for the original (non-seasonal) variance ratio test. The multivariate non-parametric cointegration test of Breitung (2002 ) is also investigated to distinguish between PI and SI processes. A Monte Carlo analysis shows how these results apply in finite samples for both SI and PI processes and an empirical application investigates seasonally unadjusted quarterly US industrial production series.

• 出版日期2012-5