In this paper we derive, under the assumption of Gaussian errors with known errorcovariance matrix, asymptotic local power bounds for seasonal unit root tests for bothknown and unknown deterministic scenarios and for an arbitrary seasonal aspect. Wedemonstrate that the optimal test of a unit...

In this paper we introduce a new test of the null hypothesis of nocointegration between a pair of time series. For a very simple generating model, ourtest compares favourably with the Engle-Granger/Dickey-Fuller test and the Johansentrace test. Indeed, shortcomings of the former motivated the...