This article presents a new simulation-based technique for estimating the likelihood of stochastic differential equations. This technique is based on a result of Dacunha-Castelle and Florens-Zmirou. These authors proved that the transition densities of a nonlinear diffusion process with a...

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...