1 University of Victoria Econometrics Working Paper EWP 9912 ISBN 1485-6441 Testing for Unit Roots in Semi-Annual Data Sandra G. Feltham a and David E. A. Giles b,* a Economic Analysis Branch, Ministry of Human Resources, Victoria BC, Canada V8W1A4 b Department of Economics, University of Victoria, Victoria BC, Canada V8W2Y2 August 1999 Abstract We consider the problem of testing for unit roots at the zero and seasonal frequencies in time- series data which are recorded semi-annually. The proposed methodology follows that of Hylleberg et al. (1990) and Beaulieu and Miron (1993) for quarterly and monthly data respectively. The non-standard asymptotic distributions for the single and joint tests are derived, and various percentiles of the finite-sample distributions are tabulated. Monte Carlo simulation is used to investigate the powers of the tests, and we illustrate their application to several semi- annual economic time-series. JEL classifications: C12, C22 Keywords: Unit roots; non-stationary data; seasonality; semi-annual data * Corresponding author. E-mail: dgiles@uvic.ca ; FAX: 250-721-6214 ; Voice: 250-721-8540