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,...

Is In this paper we provide a detailed analysis of the impact of persistent cycles on the well-known semi-parametric unit root tests of Phillips and Perron (1988, Biometrika 75, 335.346). It is shown analytically and through Monte Carlo simulations that the presence of complex (near) unit roots...