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...

In the context of regression-based (quarterly) seasonal unit root tests, we examine the impact of initial conditions (one for each quarter) of the process on test power. We investigate the behaviour of the well-known OLS detrended HEGY seasonal unit root tests together with their...

In this paper we consider the problem of testing the null hypothesis that a series has a constant level (possibly as part of a more general deterministic mean) against the alternative that the level follows a random walk. This problem has previously been studied by, inter alia, Nyblom and...