erc/metu
INTERNATIONAL CONFERENCE IN ECONOMICS  IV
September 13-16, 2000, Ankara

Asymptotic Distributions of Seasonal Unit Root Tests: A Unifying Approach

Paulo M. M. Rodrigues (University of Algavre, Portugal)
Denise R. Osborn (University of Manchester, UK )

Abstract

In this paper we adopt a unified approach to the derivation of the asymptotic distributions of various seasonal unit root tests. We use this approach to derive the limit distributions of the Dickey et al. (DHF), Kunts, Hylleberg et al. (HEGY), Osborn et al. (OCSB), Ghysels et al. (GHL) and Franses test procedures. This unified approach emphasizes the relationship between the tests and their asymptotic distributions. The Kunst test and the overall HEGY F-test are shown to be equivalent both asymptotically and in finite samples, while the Franses and GHL tests are shown to be equivalent parameterizations. The OCSB and DHF test regressions are viewed as restricted forms of the Kunst/HEGY regressions, and these restrictions are shown to have non-trivial asymptotic implications.

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