A locally optimal seasonal unit-root test

Date

1998

Authors

Caner, M.

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Abstract

This article proposes a locally best invariant test of the null hypothesis of seasonal stationarity against the alternative of seasonal unit roots at all or individual seasonal frequencies. An asymptotic distribution theory is derived and the finite-sample properties of the test are examined in a Monte Carlo simulation. My test is also compared with the Canova and Hansen test. The proposed test is superior to the Canova and Hansen test in terms of both size and power.

Source Title

Journal of Business and Economic Statistics

Publisher

Taylor & Francis Inc.

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Citation

Published Version (Please cite this version)

Language

English