This article proposes a locally best invariant test of the null hypothesis of seasonal stationarity against the alternative of seasonal unit roots at all or individual seasonal frequencies. An asymptotic distribution theory is derived and the finite-sample properties of the test are examined in...

This paper generalizes the univariate results of Chan and Tran (1989, <italic>Econometric Theory</italic> 5, 354–362) and Phillips (1990, <italic>Econometric Theory</italic> 6, 44–62) to multivariate time series. We develop the limit theory for the least-squares estimate of a VAR(l) for a random walk with independent and...

This paper proposes the least absolute shrinkage and selection operator–type (Lasso-type) generalized method of moments (GMM) estimator. This Lasso-type estimator is formed by the GMM objective function with the addition of a penalty term. The exponent of the penalty term in the regular Lasso...

This is a corrigendum. We correct the mistakes in Basci and Caner, "Are Real Exchange Rates Nonlinear or Non-stationary? Evidence from a New Threshold Unit Root Test" 2005, vol.9.4, Article 2.