HEGY Tests in the Presence of Moving Averages*
分析了当误差项为移动平均过程时，HEGY季节性单位根检验的渐近分布，发现增广阶数足够大时尺度与偏移效应消失，但半年度频率的t检验仍非枢轴量。
We analyze the asymptotic distributions associated with the seasonal unit root tests of Hylleberg (1990) for quarterly data when the innovations follow a moving average process. Although both the t- and F-type tests suffer from scale and shift effects compared with the presumed null distributions when a fixed order of autoregressive augmentation is applied, these effects disappear when the order of augmentation is sufficiently large. However, as found by Burridge and Taylor (2001) for the autoregressive case, individual t-ratio tests at the semi-annual frequency are not pivotal even with high orders of augmentation, although the corresponding joint F-type statistic is pivotal. Monte Carlo simulations verify the importance of the order of augmentation for finite samples generated by seasonally integrated moving average processes. © Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2011.