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Prices, interest rates and the exchange rate: an empirical cointegration analysis
(Athens University of Economics and Business, 2000-07) Likos, Andreas Thomas; Athens University of Economics and Business, Department of Statistics; Ioannidis, E.
Thesis - Athens University of Economics and Business. Postgraduate, Department of Statistics
Testing for non-stationary stochastic seasonality with an application to the greek inflation
Boura, Theonymfi I.; Μπούρα, Θεονύμφη Ι.; Athens University of Economics and Business, Department of Statistics; Ioannidis, E.
In Time Series Analysis, many processes apart from trend may display seasonality. Although, the most famous and commonly used is the deterministic, there are two other types of seasonality that differ significantly from this, the so-called non-stationary and stationary stochastic seasonality. With regard to the stochastic seasonality, we detect and differentiate the non-stationary from the stationary stochastic seasonality by conducting seasonal Unit Root Tests. Seasonal Unit Root Tests constitute the extension to seasonal models of the well-known Unit Roots test for the null of a series being integrated (e.g. a random walk) versus it being stationary. The main focus of this thesis is to present and discuss two such tests. The first one is the seasonal Augmented Dickey Fuller test and the second one is the so-called HEGY unit root test. Both of them test the null hypothesis of non-stationary stochastic seasonality versus the alternative of stationarity stochastic seasonality. They do however make different assumptions on the structure of the null and the alternative and focus on somehow different aspects of it. The use as well as the main characteristics of these tests are illustrated with an application using the dataset of the Greek Inflation.