This paper is concerned with tests for seasonal unit roots in a univariate time series process. We construct test statistics which are similar, both exactly and asymptotically, with respect to both the initial values of the process and the possibility of differential seasonal dirft under the...

A sequential procedure for determination of trend degree and testing for unit root is introduced; its properties are investigated by Monte Carlo experiments. We compare the performance of Augmented Dickey-Fuller tests and the GLS tests of Elliott, Rothenberg and Srock (1996), in both cases with lag...

This paper considers the problem of testing for a nonstochastic seasonal unit root in a seasonally observed time-series process against the alternative of a randomized seasonel root with mean unity; that is, the process displays heteroscedastic seasonal integration.