A locally optimal seasonal unit-root test

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dc.citation.epage356en_US
dc.citation.issueNumber3en_US
dc.citation.spage349en_US
dc.citation.volumeNumber16en_US
dc.contributor.authorCaner, M.en_US
dc.date.accessioned2016-02-08T10:44:52Z
dc.date.available2016-02-08T10:44:52Z
dc.date.issued1998en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1080/07350015.1998.10524774en_US
dc.identifier.eissn1537-2707
dc.identifier.issn0735-0015
dc.identifier.urihttp://hdl.handle.net/11693/25441
dc.language.isoEnglishen_US
dc.publisherTaylor & Francis Inc.en_US
dc.relation.isversionofhttps://doi.org/10.1080/07350015.1998.10524774en_US
dc.source.titleJournal of Business and Economic Statisticsen_US
dc.subjectLocally best invariant testen_US
dc.subjectMaximum likelihood estimationen_US
dc.subjectMonte Carloen_US
dc.subjectSeasonal differencing filteren_US
dc.subjectSeasonal stationarityen_US
dc.titleA locally optimal seasonal unit-root testen_US
dc.typeArticleen_US

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