Castro, Tomás del Barrio; Osborn, Denise R.; Taylor, … - In: Econometric Theory 28 (2012) 05, pp. 1121-1143
In this paper we extend the large-sample results provided for the augmented Dickey–Fuller test by Said and Dickey (<xref>1984</xref>, <italic>Biometrika</italic> 71, 599–607) and Chang and Park (<xref>2002</xref>, <italic>Econometric Reviews</italic> 21, 431–447) to the case of the augmented seasonal unit root tests of Hylleberg, Engle, Granger,...
