Testing for seasonal unit roots in Brazilian monetary series
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...
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| Format: | Article |
| Language: | Portuguese |
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Universidade de São Paulo
2002-06-01
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| Series: | Economia Aplicada |
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| Online Access: | https://www.revistas.usp.br/ecoa/article/view/219914 |
| Summary: | 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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| ISSN: | 1413-8050 1980-5330 |