This paper covers seasonal unit roots tests developed in the last 25 years. The main attention is given to HEGY test and its different modifications. Also we study some simple tests for seasonal unit roots, in particular, Dickey-Hasza-Fuller test.

Recent approaches in unit root testing have taken into account the influences of initial condition, trend, and breaks in data using pre-testing and union of rejection testing strategies based on obtained information. This paper proposes an extension of the Harvey et al. (2012b) approach to...

In this paper an overview of methods for the analysis of structural VAR models is provided. The fundamental properties of SVAR models, the estimated parameters, as well as various methods of identifying shocks and principles of constructing confidence intervals for impulse responses are...

The paper deals with methods of testing for seasonal unit root, deterministic seasonality and seasonal structural breaks in the time series. Note that among the tests for seasonal unit roots, we consider the LM-tests, likelihood ratio tests and the variance ratio tests, as well as principles of...

Recent approaches in unit root testing have taken into account the influences of initial condition, trend, and breaks in data using pre-testing and union of rejection testing strategies based on obtained information. This paper proposes an extension of the Harvey et al. (2012b) approach to...

type="main" xml:id="obes12057-abs-0001" <title type="main">Abstract</title> <p>In this article, we investigate the behaviour of stationarity tests proposed by Müller [Journal of Econometrics (2005) Vol. 128, pp. 195–213] and Harris et al. [Econometric Theory (2007) Vol. 23, pp. 355–363] with uncertainty over the trend...</p>

This paper proposes the extension of the Hasza and Fuller (1979) test for double unit roots based on GLS-detrending. The limiting distribution of this test is obtained under local to unity representation and coincides with the distribution of the conventional test in the absence of a...

In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has...

In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suffer from asymptotic size distortions under near integration. We also investigate the behavior of the...

In this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) to reduce size distortion with one structural break in data generating process. We nd the bias up to the order of 1=T for four types of models containing structural breaks. Simulations on fininite samples show a...