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A Note on Seasonal Unit Root Tests

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Abstract

The seasonal unit root tests make it possible to determine the nature of the deterministic and stochastic seasonal fluctuations. In Section 2, we define the main seasonal time series models and the seasonal integration notion. Section 3 describes the HEGY test procedure.

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Authors and Affiliations

  1. Faculté des Sciences Economiques, LAMETA/CNRS, Université Montpellier I, Espace Richter, Avenue de la Mer, B.P. 9606, 34054, Mont-pellier Cedex 1, France

    Olivier Darné & Claude Diebolt

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  1. Olivier Darné
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  2. Claude Diebolt
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Darné, O., Diebolt, C. A Note on Seasonal Unit Root Tests. Quality & Quantity 36, 305–310 (2002). https://doi.org/10.1023/A:1016032601197

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