Regression-Based Seasonal Unit Root Tests
The contribution of this paper is three-fold. Firslty, a characterisation of the sub-hypotheses comprising the seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests test. Secondly, it proposes regrssion-based tests for the seasonal unit root hypothesis which allow a general seasonal aspect for the data and are similar both exactly and asymptotically with respect to initial values and seasonal drift parameters. Thirdly, simulation evidence is given on the size and power properties of the statistics presented in this paper which has important implications for how tests of the seasonal unit root hypothesis should be conducted.
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- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
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