presents
David A. DcikeyDepartment of Statistics
North Carolina State University
Seasonal Unit Root Tests in Long Periodicity Cases
Abstract
Seasonal differencing is often applied when reporting, for example,
monthly sales. New car sales are often reported as up or down from the
same period last year. Tests for the need to seasonally difference data
are seasonal unit root tests. We modify the tests of Dickey, Hasza, and
Fuller (1984) to investigate results for less typical, long period
cases such as 1,440 minutes per day, 52 weeks per year, 365 days per
year and so forth, getting some nice properties including a surprising
effect of deterministic terms in the models.
Friday, January 15, 2010
3:00pm - 4:00pm
2203 SAS Hall