ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
提出统一方法推导多种季节单位根检验的渐近分布，证明这些检验统计量的渐近分布是同一布朗运动向量的函数，并揭示不同检验之间的等价性与限制关系，对从事时间序列分析的学者有参考价值。
ABSTRACT This paper adopts a unified approach to the derivation of the asymptotic distributions of various seasonal unit root tests. The procedures considered are those of Dickey et al. [DHF], Kunst, Hylleberg et al. [HEGY], Osborn et al. [OCSB], Ghysels et al. [GHL] and Franses. This unified approach shows that the asymptotic distributions of all these test statistics are functions of the same vector of Brownian motions. The Kunst test and the overall HEGY F-test are, indeed, equivalent both asymptotically and in finite samples, while the Franses and GHL tests are shown to have equivalent parameterizations. The OCSB and DHF test regressions are viewed as restricted forms of the Kunst-HEGY regressions, and these restrictions may have non-trivial asymptotic implications.