This paper examines the implications of applying the Hylleberg, Engle, Granger, and Yoo (1990, <italic>Journal of Econometrics</italic> 44, 215–238) (HEGY) seasonal root tests to a process that is periodically integrated. As an important special case, the random walk process is also considered, where the...

The contribution of this paper is threefold. First, a characterization theorem of the subhypotheses comprising the seasonal unit root hypothesis is presented that provides a precise formulation of the alternative hypotheses associated with regression- based seasonal unit root tests. Second, it...