ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH |
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Authors: | Denise R. Osborn Paulo M. M. Rodrigues |
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Affiliation: | a School of Economic Studies, University of Manchester, United Kingdomb Faculty of Economics, University of Algarve, Faro, Portuga |
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Abstract: | This paper adopts a unified approach to the derivation of the asymptotic distributions of various seasonal unit root tests. The procedures considered are those of Dickey et al. [DHF], Kunst, Hylleberg et al. [HEGY], Osborn et al. [OCSB], Ghysels et al. [GHL] and Franses. This unified approach shows that the asymptotic distributions of all these test statistics are functions of the same vector of Brownian motions. The Kunst test and the overall HEGY F-test are, indeed, equivalent both asymptotically and in finite samples, while the Franses and GHL tests are shown to have equivalent parameterizations. The OCSB and DHF test regressions are viewed as restricted forms of the Kunst-HEGY regressions, and these restrictions may have non-trivial asymptotic implications. |
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Keywords: | Seasonal unit roots Asymptotic distributions Unit root tests Brownian motions JEL Classification C12 C22 |
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