This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is...

The likelihood function of a seasonal model, Yt=pYt-d+et as implemented in computer algorithms under the assumption of stationary initial conditions is a function of p which is zero at the point p=1. It is a smooth function for p in the above seasonal model with a well-defined maximum regardless...