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st: RE: ADF test for seasonaly data


From   "Jason Yackee" <[email protected]>
To   <[email protected]>
Subject   st: RE: ADF test for seasonaly data
Date   Sun, 17 Sep 2006 11:50:36 -0700

Does it make sense to make your own 7-month "year" so that the lag of
October is the previous April, &c?

Jason

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of adam dvir
Sent: Sunday, September 17, 2006 11:46 AM
To: [email protected]
Subject: st: ADF test for seasonaly data

Hello everyone,

I have a seasonally data of prices and quantities of Avocado export to 
Europe, that I want to check for stationarity using DF or ADF tests.

the problem is that my data is not continuous, and includes only the
monthes 
october to April (7 monthes), when the other monthes are blank (missing 
values). When I use the ADF regression (with only 1 lagged diference), I

automatically lose 36 obs. of my 123 obs., because of the data's missing

monthes (I have obs. for 18 years). Moreover, each lag I add to the 
rerassion makes one month to be ommited from the regrssion (for example:
1 
lag - October is omitted, 2 lags - November is omitted etc.)

Is it right to use the ADF test? Or is there other test for stationarity

that might feet better to my case?



Thank you very much,



Adam Dvir

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