The applied perspective for seasonal cointegration testing: a supplementary note

Abstract

In a recent issue of this journal the available procedures for testing and estimating cointegration relationships at the seasonal frequencies are surveyed. There it is recognized that prior knowledge about the presence of particular seasonal unit-roots is necessary, and two tests that provide this preliminary information are also surveyed, leaving out of this set a third test which is likely to be one with the highest power. This note tries to supplement the aforementioned paper by presenting the properties of the alternative (supposedly more powerful) test.

Keywords

• seasonal unit roots
• deterministic seasonality
• stochastic seasonality