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...

We present the asymptotic properties of double-stage quantile regressionestimators with random regressors, where the first stage is based on quantile regressionswith the same quantile as in the second stage, which ensures robustness of the estimationprocedure. We derive invariance properties...