ON PHILLIPS–PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS
In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range (0,[pi]]. Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al. (1990). On the other hand, the semiparametric version suffers from severe size distortions in some situations.
c1 Address correspondence to: Jörg Breitung, Institute of Statistics and Econometrics, Humboldt University Berlin, Spandauer Strasse 1, D-10178 Berlin, Germany.