Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability
提出拉格朗日乘子检验，用于检验季节性频率上是否存在单位根，通过蒙特卡洛模拟研究检验的统计性质，并应用于实际数据发现大多数情况下季节性是非平稳的。
This paper introduces Lagrange multiplier tests of the null hypothesis of no unit roots at seasonal frequencies against the alternative of a unit root at either a single seasonal frequency or a set of seasonal frequencies. The tests complement those of D. Dickey, D. Hasza, and W. Fuller (1984) and S. Hylleberg, et al. (1990), which examine the null of seasonal unit roots. The authors derive an asymptotic distribution theory for the tests and investigate their size and power with a Monte Carlo exercise. Application of three sets of seasonal variables shows that, in most cases, seasonality is nonstationary.