TESTING FOR PERIODIC STATIONARITY

Eiji Kurozumi

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Abstract

This paper proposes a test for the null hypothesis of periodic stationarity against the alternative hypothesis of periodic integration. We derive the limiting distribution of the test statistic and its characteristic function, which are the same as those of the test developed in Kwiatkowski, Phillips, Schmidt and Shin.[15] Kwiatkowski, D., Phillips, P.C. B., Schmidt, P. and Shin, Y. 1992. Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root.. Journal of Econometrics, 54: 159–178. [Crossref], [Web of Science ®] , [Google Scholar] We find that some parameters, which we must assume under the alternative, have an important effect on the limiting power, so we should choose such parameters carefully. A Monte Carlo simulation reveals that the test has reasonable power but may be affected by the lag truncation parameter that is used for the correction of nuisance parameters.

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References

1992Testing the null hypothesis of stationarity against the alternative of a unit root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1992A Representation of Vector Autoregressive Processes Integrated of Order 2 1995Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability 1996Periodicity and Stochastic Trends In Economic Time Series 1991The implications of periodically varying coefficients for seasonal time-series processes 1989The Performance of Periodic Autoregressive Models in Forecasting Seasonal U.K. Consumption

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