This paper presents a detailed discussion of the characteristics of seasonal integrated and near integrated processes, as well as the asymptotic properties of seasonal unit root tests. More specifically, the characteristics of a seasonal random walk and a more general seasonal integrated ARMA...

Time series are demeaned when sample autocorrelation functions are computed. By the same logic it would seem appealing to remove seasonal means from seasonal time series before computing sample autocorrelation functions. Yet, standard practice is only to remove the overall mean and ignore the...