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.

Additional Metadata
Keywords Monte Carlo simulations, seasonality, unit roots
Persistent URL dx.doi.org/10.1017/S0266466698142032, hdl.handle.net/1765/2139
Journal Econometric Theory
Citation
Franses, Ph.H.B.F, & Breitung, J. (1998). On Phillips-Perron type tests for seasonal unit roots. Econometric Theory, 200–221. doi:10.1017/S0266466698142032