ON PHILLIPS–PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS
提出了Hylleberg等人(1990)季节性单位根检验的半参数版本，基于简单回归问题推导渐近理论，蒙特卡洛模拟显示该检验在某些情况下比原参数检验有更高功效，但存在严重尺寸失真。
In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range (0,π]. Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al. (1990). On the other hand, the semiparametric version suffers from severe size distortions in some situations.