In this paper we investigate the impact of non-stationary cycles on the asymptotic and finite sample properties of standard unit root tests. Results are presented for the augmented Dickey-Fuller normalised bias and t-ratio-based tests (Dickey and Fuller, 1979, and Said and Dickey, 1984), the...

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,...

In this paper we derive, under the assumption of Gaussian errors with known error covariance matrix, asymptotic local power bounds for seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal aspect. We demonstrate that the optimal test of a unit...

In this paper we derive, under the assumption of Gaussian errors with known error covariance matrix, asymptotic local power bounds for seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal aspect. We demonstrate that the optimal test of a unit...