Modeling Seasonality: Seasonal Integration, Deterministic Seasonality and Seasonal Structural Breaks

The paper deals with methods of testing for seasonal unit root, deterministic seasonality and seasonal structural breaks in the time series. Note that among the tests for seasonal unit roots, we consider the LM-tests, likelihood ratio tests and the variance ratio tests, as well as principles of costruction of effective tests, and do not consider the simplest methods for seasonal unit roots testing and class of HEGY of tests. In this paper we present the results of seasonal unit roots testing for Russian macroeconomic time series.