In this paper the application of the score principle to test for unit roots in seasonal processes is analysed. In particular, tests based on the procedure proposed by Hylleberg "et al." (1990, Journal of Econometrics, <e2>44</e2>, 215-38) (HEGY) are introduced and the respective limit distributions...

This paper examines the effect of X-11 seasonal adjustment on periodic autoregressive processes, using both analytic techniques and simulation. Analytical results show that adjustment reduces (but does not eliminate) periodicity in the coefficients of a stationary PAR(1) process, and it...