Abstract
This paper presents asymptotic results for the seasonal
unit root test proposed by Hylleberg, Engle, Granger and Yoo
(1990, Journal of Econometrics 44, 215–238)
in a near integration context. The findings are important
in that they provide the asymptotic power functions of the
Hylleberg et al. statistics when the characteristic roots of
a seasonal process are local to unity. These conclusions
extend the available asymptotic results for this test and
serve as a framework for the potential development of more
powerful test procedures.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
14 articles.
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