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，并应用于三组季节性数据发现多数情况下季节性是非平稳的。
Abstract This article 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 Dickey, Hasza, and Fuller and Hylleberg, Engle, Granger, and Yoo that examine the null of seasonal unit roots. We derive an asymptotic distribution theory for the tests, and investigate their size and power with a Monte Carlo exercise. Application of the tests to three sets of seasonal variables shows that in most cases seasonality is nonstationary. KEY WORDS: InstabilityLagrange multiplier testsMonte CarloParameter constancySeasonalityUnit roots