In this paper, we analyse the behaviour of regression-based tests for seasonal unit roots when the error is periodically heteroscedastic. We show, using the case of quaterly data to illustrate, that the limiting null distribution of tests for unit roots at the zero and Nyquist frequencies are unaffected by the presence od periodic heteroscedastic behaviour in the error process.
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Paper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number
99-10.
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
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