posted on 2005-08-12, 14:45authored byMarkus J. Chambers, Joanne S. McGarry
This paper considers statistics based on spectral regression estimators for testing for seasonal
unit roots in a time series. An advantage of the frequency domain approach is that it enables
serial correlation to be treated nonparametrically, thereby facilitating an explicit focus on the
frequencies at which unit roots are of interest. The limiting distributions of the proposed
test statistics are derived and their size and power properties are explored in simulation
experiments.