TESTING FOR SEASONAL UNIT ROOTS IN A QUARTERLY SERIES OF BEEF CATTLE PRICES IN THE STA.TE OF SÃO PAULO (BRAZIL)
The last decade has witnessed agreat interest in integration and cointegration analysis ofeconomic time series. This implies the detection ofthe so-called unit roots, which can be non-seasonal or seasonal. The main objectives ofthispaper are to determine the order ofseasonal integration and the nature ofthe seasonalprocessgenerating the quarterly series ofbeefcattle prices in the State ofSão Paulo. Two dijferent tests are carried out to achieve these objectives: the DHF and the HEGY tests. The results obtained indicate no seasonal unit roots but only a zero frequency unit root. This means that the series is I0(1) with apartly deterministic andpartly stochastic (stationary) seasonal pattern1 and that after transformation by the delta=(1-L) filter it can be modeled with seasonal dummy variables.
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