Department of Statistics Seminar
North Carolina State University

presents

David A. Dcikey

Department 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

Refreshments will be served in the 2nd floor Hallway at 2:30pm.
NOTE: No food or drink is allowed in any of the classrooms in SAS Hall.