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,...

We analyze the asymptotic distributions associated with the seasonal unit root tests of the Hylleberg et al. (1990) procedure for quarterly data when the innovations follow a moving average process. Although both the t- and F-type tests suffer from scale and shift effects compared with the...