Hostname: page-component-848d4c4894-8bljj Total loading time: 0 Render date: 2024-06-20T17:52:29.583Z Has data issue: false hasContentIssue false

NEAR SEASONAL INTEGRATION

Published online by Cambridge University Press:  07 February 2001

PAULO M.M. RODRIGUES
Affiliation:
University of Algarve

Abstract

This paper presents asymptotic results for the seasonal unit root test proposed by Hylleberg, Engle, Granger and Yoo (1990, Journal of Econometrics 44, 215–238) in a near integration context. The findings are important in that they provide the asymptotic power functions of the Hylleberg et al. statistics when the characteristic roots of a seasonal process are local to unity. These conclusions extend the available asymptotic results for this test and serve as a framework for the potential development of more powerful test procedures.

Type
Research Article
Copyright
© 2001 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)