Bootstrap tests for unit roots in seasonal autoregressive models推荐.pdfVIP

On the Asymptotic Properties of Some Seasonal Unit Root Tests Author(s): A. M. Robert Taylor Reviewed work(s): Source: Econometric Theory, Vol. 19, No. 2 (Apr., 2003), pp. 311-321 Published by: Cambridge University Press Stable URL: /stable/3533355 . Accessed: 01/12/2012 08:59 Your use of the JSTOR archive indicates your acceptance of the Terms Conditions of Use, available at . /page/info/about/policies/terms.jsp . JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@. . Cambridge University Press is collaborating with JSTOR to digitize, preserve and extend access to Econometric Theory. This content downloaded by the authorized user from 8 on Sat, 1 Dec 2012 08:59:03 AM All use subject to JSTOR Terms and Conditions Econometric Theory, 19, 2003, 311-321. Printedin the United States of America. DOI: 10.1017/S0266466603 192043 ON THEASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOTTESTS A.M. ROBERTTAYLOR University of Birmingham This paper analyzes the large sample behavior of the seasonal unit root tests of Dickey, Hasza, and Fuller (1984, Journal of the American StatisticalAssociation 79, 355-367) when applied to a series that admits a unit root at the zero but not seasonal spectralfrequencies.We show that in such cases the Dickey et al. statis- tics have nondegeneratelimiting distributions.Consequently,there is a nonzero probabilitythat, taken in