Journal article

Regression-based seasonal unit root tests

RJ Smith, AMR Taylor, T Del Barrio Castro

Econometric Theory | Published : 2009

Abstract

The contribution of this paper is threefold. First, a characterization theorem of the subhypotheses comprising the seasonal unit root hypothesis is presented that provides a precise formulation of the alternative hypotheses associated with regression- based seasonal unit root tests. Second, it proposes regression-based tests for the seasonal unit root hypothesis that allow a general seasonal aspect for the data and are similar both exactly and asymptotically with respect to initial values and seasonal drift parameters. Third, limiting distribution theory is given for these statistics where, in contrast to previous papers in the literature, in doing so it is not assumed that unit roots hold a..

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