Rodrigues, Paulo M.M.; Taylor, A.M. Robert - School of Economics, University of Nottingham
In this paper we derive, under the assumption of Gaussian errors with known error covariance matrix, asymptotic local … power bounds for seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal … known error
covariance matrix, asymptotic local power bounds for seasonal unit root tests for both
known and unknown …
