On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity
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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