A locally optimal seasonal unit-root test
Date
1998
Authors
Caner, M.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Journal of Business and Economic Statistics
Print ISSN
0735-0015
Electronic ISSN
1537-2707
Publisher
Taylor & Francis Inc.
Volume
16
Issue
3
Pages
349 - 356
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Series
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.