ISSN:
1573-6911
Keywords:
Seasonal unit roots
;
Lagrange multiplier test
;
instability
;
parameter constancy
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract Recently, it has been shown that seasonal and business cycles are related and a similar economic mechanism is at work in producing both types of cycles (Miron 1996). Thus, an analysis of seasonal fluctuations sheds light on the nature of the business cycle. This paper uses the classical test developed by Hylleberg et al. and the LM-type tests proposed by Canova and Hansen (1995) to investigate seasonal behavior in the unemployment series of Australia, Canada, Japan, New Zealand, the US and a number of OECD countries. The main findings are that the Australian, Austrian and Canadian series are non-stationary at all seasonal frequencies, French, Japan, the NZ and the UK series are stationary at all seasonal frequencies and the USA series is stationary only at the annual frequency. The test results for other series are mixed, suggesting that further analysis is required to reach a definite conclusion. The series, except for France, Japan, New Zealand and the UK, appear to possess unstable seasonal patterns, indicating changing business cycle conditions.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1007000727859
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