TESTING FOR SEASONAL UNIT ROOTS IN A QUARTERLY SERIES OF BEEF CATTLE PRICES IN THE STA.TE OF SÃO PAULO (BRAZIL)
Antônio Aguirre
Abstract
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.
Keywords
Referências
ATHUKORALA, P. and MENON, J. (1994) Pricing to market behaviour and exchange rate pass-through in Japanese exports, Economic Journal, 104(423):271-281.
Box, G. E. P. and JENKINS, G. M. (1976) Time Series Analysis - Forecasting and Control, Holden-Day; San Francisco.
CHAREMZA, W W and DEADMAN, D. F. (1992) New Directions in Econometric Practice - General to Specific Modellin9J Cointegration and Vector Autoregression, Edward Elgar, Hants, England.
CURCHILL, R. V. (1967) Cmnplex Variables andApplications, McGraw- Hill Book Co. Inc., New York.
DrcKEY, D. A. andFULLER, W A. (1979) Distributions ofthe estimators for autoregressive time series with a unit root, Journal ofthe American Statistical Association, 74:427-431.
DICKEY, D. A., Hasza, D. P. and FuLLER, W A. (1984) Testing for unit roots in seasonal time series, Journal ofthe American Statistical Association, 79(386):355-367.
FRANSES, P. H. (1996) Recent Advances in Modelling Seasonality, Journal ofEconomic Surveys, 10(3):299-345.
HARrus, R. I. D. (1995) Using cointegration analysis in econometric modelling, Frentice Hall, London.
HYLLEBERG, S. (1994) Modelling Seasonal Variation, in: HARGREAVES, C. P. (editor) Nonstationary Time SeriesAnalysis and Cointegration, Oxford University Press Inc., New York, chapter 6, pages 153-178.
HYLLEBERG, S., ENGLE, R. E, GRANGER, C. W J. and YOO, B. S. (1990) Seasonal Integration and Cointegration, Journal of Econometrics, 44(2):215-238.
HYLLEBERG, s., JoRGENSEN, C. and SORENSEN, N. K. (1993) Seasonality in economic time series, Empirical Economics, 18:321-335.
MrLLS, T. C. and MILLS, A. G. (1992) Modelling the seasonal patterns in UK macroeconomic time series,Journal oftheRoyal Statistical SocieryA, 155:61-75.
OLIVEIRA, A. L. R. de and Picchetti, P. (1997) The applied perspective for seasonal cointegration testing, Economia Aplicada, 1(2):263- 279.
OSBORN, D. R. (1990) A survey of seasonality in UK macroeconomic variables, International Journal ofForecasting, 6:327-336.
OSBORN, D. R., CHlJI, A. P. L., SMITH, J. P. and BrRCHENHALL, C. R. (1988) Seasonality and the arder of integration for consumption, Oxford Bulletin ofEconomics and Statistics, 50:361-377.
Orro, G. and WIRJANfO, T. (1990) Seasonal unit root tests on Canadian macroecoriomic time series, Economic Letters, 34:117-130.
Facebook
Google+
Twitter
LinkedIn
Mendeley
Email