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NEAR SEASONAL INTEGRATION

Published online by Cambridge University Press:  07 February 2001

PAULO M.M. RODRIGUES
Affiliation:
University of Algarve

Abstract

This paper presents asymptotic results for the seasonal unit root test proposed by Hylleberg, Engle, Granger and Yoo (1990, Journal of Econometrics 44, 215–238) in a near integration context. The findings are important in that they provide the asymptotic power functions of the Hylleberg et al. statistics when the characteristic roots of a seasonal process are local to unity. These conclusions extend the available asymptotic results for this test and serve as a framework for the potential development of more powerful test procedures.

Type
Research Article
Copyright
© 2001 Cambridge University Press

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