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1、OntheAsymptoticPropertiesofSomeSeasonalUnitRootTestsAuthor(s):A.M.RobertTaylorReviewedwork(s):Source:EconometricTheory,Vol.19,No.2(Apr.,2003),pp.311-321Publishedby:CambridgeUniversityPressStableURL:http://www.jstor.org/stable/3533355.Accessed:01/12/201208:59
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4、oEconometricTheory.http://www.jstor.orgThiscontentdownloadedbytheauthorizeduserfrom192.168.52.78onSat,1Dec201208:59:03AMAllusesubjecttoJSTORTermsandConditionsEconometricTheory,19,2003,311-321.PrintedintheUnitedStatesofAmerica.DOI:10.1017/S0266466603192043ONT
5、HEASYMPTOTICPROPERTIESOFSOMESEASONALUNITROOTTESTSA.M.ROBERTTAYLORUniversityofBirminghamThispaperanalyzesthelargesamplebehavioroftheseasonalunitroottestsofDickey,Hasza,andFuller(1984,JournaloftheAmericanStatisticalAssociation79,355-367)whenappliedtoaseriestha
6、tadmitsaunitrootatthezerobutnotseasonalspectralfrequencies.WeshowthatinsuchcasestheDickeyetal.statis-ticshavenondegeneratelimitingdistributions.Consequently,thereisanonzeroprobabilitythat,takeninisolation,theywillleadtheappliedresearchertoaccepttheseasonalun
7、itrootnullhypothesisandhence,incorrectly,takeseasonaldiffer-encesoftheseries,evenasymptotically.Thesameconclusionholdsiftheprocessdisplaysunitrootbehavioratanyofthezeroand/orseasonalfrequencies.OurresultsthereforeproveaconjecturemadeonthebasisofMonteCarlosim
8、ulationevidence,inGhysels,Lee,andNoh(1994,JournalofEconometrics62,415-442)thatthetestsofDickeyetal.,unlikethoseofHylleberg,Engle,Granger,andYoo(1990,JournalofEconometrics44,215-238),areunabletos
