On LM type tests for seasonal unit roots in quarterly data
Year: 2002
Type: article
Abstract: In this paper the application of the score principle to test for unit roots in seasonal processes is analysed. In particular, tests based on the procedure proposed by Hylleberg et al.(1990, Journal of Econometrics, 44, 215–38) (HEGY) are introduced and the respective limit distributions derived in a local‐to‐unity context. It is shown that these statistics converge to distributions already tabulated in the literature. A Monte Carlo investigation contrasting the conventional HEGY procedure with the new Lagrange multiplier HEGY type tests reveals the latter to have a better performance. Furthermore, the limiting powers of the test statistic are also computed and compared.
Source: Econometrics Journal
Author: Paulo Rodrigues
Institution: University of Algarve
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2091026707