Detecting seasonal unit roots in a structural time series model |
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| Authors: | Yoshinori Kawasaki Philip Hans Franses |
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| Institution: |
a The Institute of Statistical Mathematics, Minato-ku, Tokyo, Japan.
b Econometric Institute, Erasmus University Rotterdam, the Netherlands. |
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| Abstract: | In this paper, we propose to detect seasonal unit roots within the context of a structural time series model. Such a model is often found to be useful in practice. Using Monte Carlo simulations, we show that our method works well. We illustrate our approach for several quarterly macroeconomic time series variables. |
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