Gloria Martin-Rodriguez

Evolving splines and seasonal unit roots in weekly agricultural prices

In this paper, a methodological proposal is described to test for seasonal unit roots in weekly series of agricultural prices. When the deterministic seasonal component is not fixed over the sample, the tests for unit roots at seasonal frequencies tend to fail to reject the null hypothesis. This being the case, the original series are proposed to be filtered in order to remove the evolving deterministic seasonal component before applying standard procedures for testing for seasonal unit roots. In such a sense, the non-restricted evolving spline model (ESM) and the restricted evolving spline model (RESM) are shown to be useful parametric formulations to capture this type of deterministic seasonal pattern.