Kawasaki, Yoshinori; Franses, Philip Hans - In: Journal of Applied Statistics 30 (2003) 4, pp. 373-387
In this paper, we propose to detect seasonal unit roots within the context of a structural time series model. Such a model is often found to be useful in practice. Using Monte Carlo simulations, we show that our method works well. We illustrate our approach for several quarterly macroeconomic...