On Augmented Franses Tests for Seasonal Unit Roots

This article extends the results reported in del Barrio Castro, Osborn and Taylor (2012 del Barrio Castro, T., Osborn, D.R., Taylor, A. M.R. (2012). On augmented HEGY tests for seasonal unit roots. Econometric Theor. 18:1121–1143.Crossref], Web of Science ®] , Google Scholar]) to the approach followed by Franses (1991a Franses, P. H. (1991a). Model selection and seasonality in time series. Tibergen Institute Series, 18. Google Scholar],b Franses, P.H. (1991b). Seasonality, non-stationarity and the forecasting of monthly time series. Int. J. Forecast. 7:199–208.Crossref], Web of Science ®] , Google Scholar]) to test for seasonal unit roots, providing the asymptotic representation to the seasonal unit roots tests proposed by Franses for a general number of seasons S.