A Locally Optimal Seasonal Unit-Root Test
提出一种局部最优不变检验，用于检验季节性平稳性假设是否成立，替代假设是存在季节单位根。通过蒙特卡洛模拟比较，该检验在检验规模和检验力上均优于Canova和Hansen检验。
This article proposes a locally best invariant test of the null hypothesis of seasonal stationarity against the alternative of seasonal unit roots at all or individual seasonal frequencies. An asymptotic distribution theory is derived and the finite-sample properties of the test are examined in a Monte Carlo simulation. My test is also compared with the Canova and Hansen test. The proposed test is superior to the Canova and Hansen test in terms of both size and power.