Castro, Tomás del Barrio; Osborn, Denise R. - Departament d'Economia Aplicada, Facultat de Ciències … - 2010
We analyze the asymptotic distributions associated with the seasonal unit root tests of the Hylleberg et al. (1990) procedure for quarterly data when the innovations follow a moving average process. Although both the t- and F-type tests suffer from scale and shift effects compared with the...