Seasonal Unit Root Tests with Structural Breaks in Deterministic Seasonality
扩展了Hylleberg等人的季节单位根检验，采用Zivot和Andrews的序贯方法处理确定性季节性的结构突变。蒙特卡洛证据表明，标准检验在数据存在结构不稳定季节性时功效较低，而新方法应用于美国农产品价格和宏观经济数据后，所有序列的季节单位根均被拒绝。
The seasonal root tests of Hylleberg et al (1990) are extended using the sequential approach of Zivot and Andrews (1992). This paper presents Monte Carlo evidence to support a sequential approach to estimation and critical values are estimated. It is demonstrated that non‐stationary data with structurally unstable deterministic seasonality can lead to low power in standard tests for seasonal roots. The sequential tests are applied to US agricultural price data and macroeconomic data and compared with the standard tests. Seasonal roots are rejected in all series.