Modelling Seasonality - An Extension of the HEGY Approach in the Presence of Two Structural Breaks
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Date
2008
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Savez Ekonomista Vojvodine
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Abstract
In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analysing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY and the, extended HEGY tests for seasonal unit roots subject to mean shifts and the small sample behavior of the test statistics have been investigated. Based on an empirical analysis upon the conventional money demand relationships in the Turkish economy, our results indicate that seasonal unit roots appear for the GDP deflator, real M2 and the expected inflation variables while seasonal unit roots at annual frequency seem to be disappear for the real M 1 balances when the possible structural changes in one or more seasons at 1994 and 2001 crisis years have been taken into account.
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Keywords
HEGY Seasonal unit root test, Deterministic seasonality, Structural breaks, Money demand, Turkish economy
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Citation
2
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Source
Volume
55
Issue
4
Start Page
465
End Page
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