Some tests for unit roots in seasonal time series with deterministic trends

Sung K. Ahn and Sinsup Cho

Statistics & Probability Letters, 1993, vol. 16, issue 2, 85-95

Abstract: Using the Lagrange multiplier principle, we develop test statistics for testing seasonal unit roots in a time series with possible deterministic trends. The asymptotic distributions of the test statistics are derived: they are functionals of stochastic integrals of standard Brownian bridges. Empirical percentiles of the test statistics for selected seasonal periods are provided.

Keywords: Seasonal; unit; roots; deterministic; trends; Lagrange; multiplier; test; Brownian; bridges (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (8)

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