Testing for seasonal unit roots in Brazilian monetary series

Detalhes bibliográficos
Autor(a) principal: Aguirre, Antonio
Data de Publicação: 2002
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Economia Aplicada
Texto Completo: https://www.revistas.usp.br/ecoa/article/view/219914
Resumo: The objective of this paper is to study the time series properties ofseveral Brazilian monthly monetary series. The test procedures proposed by Beaulieu and Miron (1993) are applied to determine the presence of unit roots at the zero frequency as well as the seasonal frequencies. In all cases these tests point out the existence of a unit root at the zero frequency but do not find any at the seasonal frequencies. These findings imply that the first differences of the series are stationary and can be modelled with seasonal dummy variables.
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spelling Testing for seasonal unit roots in Brazilian monetary seriesseasonal variationdeterministic seasonalitystochastic seasonalityThe objective of this paper is to study the time series properties ofseveral Brazilian monthly monetary series. The test procedures proposed by Beaulieu and Miron (1993) are applied to determine the presence of unit roots at the zero frequency as well as the seasonal frequencies. In all cases these tests point out the existence of a unit root at the zero frequency but do not find any at the seasonal frequencies. These findings imply that the first differences of the series are stationary and can be modelled with seasonal dummy variables.Universidade de São Paulo, FEA-RP/USP2002-06-05info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/21991410.11606/1413-8050/ea219914Economia Aplicada; Vol. 6 Núm. 3 (2002); 535-553Economia Aplicada; Vol. 6 No. 3 (2002); 535-553Economia Aplicada; v. 6 n. 3 (2002); 535-5531980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ecoa/article/view/219914/200784Copyright (c) 2002 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessAguirre, Antonio 2023-12-08T19:23:13Zoai:revistas.usp.br:article/219914Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-12-08T19:23:13Economia Aplicada - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Testing for seasonal unit roots in Brazilian monetary series
title Testing for seasonal unit roots in Brazilian monetary series
spellingShingle Testing for seasonal unit roots in Brazilian monetary series
Aguirre, Antonio
seasonal variation
deterministic seasonality
stochastic seasonality
title_short Testing for seasonal unit roots in Brazilian monetary series
title_full Testing for seasonal unit roots in Brazilian monetary series
title_fullStr Testing for seasonal unit roots in Brazilian monetary series
title_full_unstemmed Testing for seasonal unit roots in Brazilian monetary series
title_sort Testing for seasonal unit roots in Brazilian monetary series
author Aguirre, Antonio
author_facet Aguirre, Antonio
author_role author
dc.contributor.author.fl_str_mv Aguirre, Antonio
dc.subject.por.fl_str_mv seasonal variation
deterministic seasonality
stochastic seasonality
topic seasonal variation
deterministic seasonality
stochastic seasonality
description The objective of this paper is to study the time series properties ofseveral Brazilian monthly monetary series. The test procedures proposed by Beaulieu and Miron (1993) are applied to determine the presence of unit roots at the zero frequency as well as the seasonal frequencies. In all cases these tests point out the existence of a unit root at the zero frequency but do not find any at the seasonal frequencies. These findings imply that the first differences of the series are stationary and can be modelled with seasonal dummy variables.
publishDate 2002
dc.date.none.fl_str_mv 2002-06-05
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/219914
10.11606/1413-8050/ea219914
url https://www.revistas.usp.br/ecoa/article/view/219914
identifier_str_mv 10.11606/1413-8050/ea219914
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/219914/200784
dc.rights.driver.fl_str_mv Copyright (c) 2002 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2002 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
dc.source.none.fl_str_mv Economia Aplicada; Vol. 6 Núm. 3 (2002); 535-553
Economia Aplicada; Vol. 6 No. 3 (2002); 535-553
Economia Aplicada; v. 6 n. 3 (2002); 535-553
1980-5330
1413-8050
reponame:Economia Aplicada
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Economia Aplicada
collection Economia Aplicada
repository.name.fl_str_mv Economia Aplicada - Universidade de São Paulo (USP)
repository.mail.fl_str_mv ||revecap@usp.br
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