Authors
Fabio Canova, Bruce E Hansen
Publication date
1995/7/1
Journal
Journal of Business & Economic Statistics
Volume
13
Issue
3
Pages
237-252
Publisher
Taylor & Francis Group
Description
This article introduces Lagrange multiplier tests of the null hypothesis of no unit roots at seasonal frequencies against the alternative of a unit root at either a single seasonal frequency or a set of seasonal frequencies. The tests complement those of Dickey, Hasza, and Fuller and Hylleberg, Engle, Granger, and Yoo that examine the null of seasonal unit roots. We derive an asymptotic distribution theory for the tests, and investigate their size and power with a Monte Carlo exercise. Application of the tests to three sets of seasonal variables shows that in most cases seasonality is nonstationary.
Total citations
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