Multiple unit roots in periodic autoregression

Abstract

In this paper we propose a model selection strategy for a univariate periodic autoregressive time series which involves tests for one or more unit roots and for parameter restrictions corresponding to seasonal unit roots and multiple unit roots at the zero frequency. Examples of models that are considered are variants of the seasonal unit roots model and the periodic integration model. We show that the asymptotic distributions of various test statistics are the same as well-known distributions which are already tabulated. We apply our strategy to three empirical series to illustrate its ease of use. We find that evidence for seasonal unit roots based on nonperiodic models disappears when periodic representations are considered.