In this paper we extend the large-sample results provided for the augmented Dickey–Fuller test by Said and Dickey (<xref>1984</xref>, <italic>Biometrika</italic> 71, 599–607) and Chang and Park (<xref>2002</xref>, <italic>Econometric Reviews</italic> 21, 431–447) to the case of the augmented seasonal unit root tests of Hylleberg, Engle, Granger,...

This paper examines the implications of applying the Hylleberg, Engle, Granger, and Yoo (1990, <italic>Journal of Econometrics</italic> 44, 215–238) (HEGY) seasonal root tests to a process that is periodically integrated. As an important special case, the random walk process is also considered, where the...