The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small samples. We present a method to numerically compute critical values and...

When working with time series data observed at intervals smaller than a year, it is often necessary to test for the presence of seasonal unit roots. One of the most widely used methods for testing seasonal unit roots is that of HEGY, which provides test statistics with non-standard...

The seasonal stability tests of Canova and Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distributions of the CH tests are unknown for small samples. We present a method for numerically computing critical values...