An alternative approach to the seasonal integration test
AbstractThe aim of this paper is to propose an alternative approach for detecting a non-constant seasonal pattern in a time-series. It differs from the Canova and Hansen test in taking account of the structure of the autocorrelation of the process in a parametric way. A Monte Carlo experiment was carried out for comparing the two approaches. The statistics calculated according to the alternative one highlighted a better ability in detecting a stationary process at a particular frequency, even with a coefficient near the border of the non-stationarity region, not implying any reduction in the power of the test.
How to Cite
De Luca, G. (1998). An alternative approach to the seasonal integration test. Statistica, 58(3), 329–345. https://doi.org/10.6092/issn.1973-2201/1086