Unit root tests for seasonal models with deterministic trends

Sinsup Cho, Young J. Park and Sung K. Ahn

Statistics & Probability Letters, 1995, vol. 25, issue 1, 27-35

Abstract: We develop "Dickey-Fuller type" test statistics for seasonal unit roots when a model is fitted with deterministic seasonal trends. The asymptotic distributions of the test statistics are derived, and the asymptotic power of these statistics under a sequence of local alternatives are considered. Empirical percentiles of the test statistics for selected seasonal periods are provided. The power and size of the test statistics are examined for finite samples through a Monte Carlo simulation and compared with those of the Lagrange multiplier test of Ahn and Cho (1993a).

Keywords: Seasonal; unit; roots; Deterministic; trends; Brownian; motions; Nearly; nonstationary (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (2)

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