Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67819
Authors: 
Jansson, Michael
Nielsen, Morten Ørregaard
Year of Publication: 
2009
Series/Report no.: 
Queen's Economics Department Working Paper 1224
Abstract: 
In an important generalization of zero frequency autoregressive unit root tests, Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots at the seasonal frequencies in quarterly time series. We develop likelihood ratio tests for seasonal unit roots and show that these tests are nearly efficient in the sense of Elliott, Rothenberg, and Stock (1996), i.e. that their local asymptotic power functions are indistinguishable from the Gaussian power envelope. Currently available nearly efficient testing procedures for seasonal unit roots are regression-based and require the choice of a GLS detrending parameter, which our likelihood ratio tests do not.
Subjects: 
Likelihood Ratio Test
Seasonal Unit Root Hypothesis
JEL: 
C12
C22
Document Type: 
Working Paper

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